Posted by Luigi Ballabio on Feb 18, 2014; 8:54am URL: http://quantlib.414.s1.nabble.com/MakeCms-Capped-Rate-tp14976p14984.html
Yes, I'd fix it downstream rather than in the instrument.
Luigi
On Tue, Feb 18, 2014 at 9:48 AM, Peter Caspers <[hidden email]> wrote:
> I don't know, but if the issue is still there, shouldn't we better fix
> it in the NumericHaganPricer by introducing a hard upper integration
> bound at 2 ?
> Peter
>
>
> On 18 February 2014 07:51, Ferdinando M. Ametrano
> <[hidden email]> wrote:
>> Mmm... I seem to remember something about the only existing model at the
>> time having issues on integrating the smile up to infinitum.
>> Is this not the case anymore?
>>
>> On Feb 17, 2014 8:36 PM, "Peter Caspers" <[hidden email]> wrote:
>>>
>>> Hi,
>>>
>>> is there a reason that the standard cms swaps constructed with MakeCms
>>> have a capped rate
>>> at 200% ?
>>>
>>>
>>> https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/instruments/makecms.cpp#L43 >>>
>>> If no one objects I would like to send a pull request to remove the
>>> cap. This might impact results
>>> in existing code though, so I thought I better ask here.
>>>
>>> Thank you
>>> Peter
>>>
>>>
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