Re: QuantLib-SWIG-1.3: pricing caps with non constant vola?

Posted by Nils Tobias Kramer on Feb 20, 2014; 2:19pm
URL: http://quantlib.414.s1.nabble.com/QuantLib-SWIG-1-3-pricing-caps-with-non-constant-vola-tp14952p15003.html

Hi Luigi,

I'm not experienced with swig but would give it a try. How would you start, I mean which is probably the best way to get acquainted with swig-ql and learn how to write some wrappers?

Thanks

Toby

2014-02-19 16:06 GMT+01:00 Luigi Ballabio <[hidden email]>:

Hi,
    the chain of classes CapFloorTermVolSurface -> OptionletStripper1
-> StrippedOptioneltAdapter should be exported to QuantLib-SWIG. (My
guess is that nobody needed them yet, so they weren't exported.
QuantLib-SWIG tends to lag behind the C++ library. This is also true
of QuantLibXL, with the difference that someone used and exported
those particular classes).

Are you willing to give it a try at writing the SWIG wrappers for
them? if so, I can point you in the right direction. And of course,
I'll be glad to add them to the official repository if you contribute
them.

Later,
    Luigi

On Mon, Feb 10, 2014 at 10:20 AM, Nils Tobias Kramer
<[hidden email]> wrote:
> Hi,
>
> I was delving into pricing caps and the only way I could get it to work was
> using ConstantOptionletVolatility(). This is because I'm using
> BlackCapFloorEngine() which needs an OptionletVolatiltyStructureHandle() as
> second argument.
>
> In QuantlibXL I could get it to work: CapFloorTermVolSurface() ->
> OptionletStripper1() -> StrippedOptioneltAdapter() =>
> OptionletVolatilityStructure().
>
> However using C# I couldn't find any constructors for
> CapFloorTermVolSurface() or OptionletStripper().
> For Surface(), LocalVolTermStructure(), and
> CapFloorTermVolatilityStructure() I could only find an empty constructor so
> I'm not sure how to use it and am not sure if these are implemented in SWIG.
>
> The only two volatility term structures I found in C# are
> CapFloorTermVolCurve() and BlackVarianceSurfac(). But I can't get these
> things converted to and OptionletVolatiltyStructure().
> - Any ideas on how to price a cap with a vola term structure in C#?
> - Should I write my own pricer or use an other pricer from Quantlib, namely:
> analyticcapfloorengine, discretizedcapfloor, mchullwhiteengine or
> treecapfloorengine?
>
> I searched and searched and searched but could only come up with this:
> http://quantlib.10058.n7.nabble.com/CapFloor-surfaces-td5575.html. Also
> http://implementingquantlib.blogspot.com/2014/01/chapter-3-part-7-of-7-interest-rate.html
> didn't clear things up enough for me to solve my issue.
>
> Any suggestions are welcome.
>
> Have nice week
> Toby
>
>
>

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