Posted by
amandine vincotte on
Nov 07, 2007; 10:36am
URL: http://quantlib.414.s1.nabble.com/Floating-RateBond-tp1544p1545.html
Hi Luigi,
I get two types of errors:
- when I set the effective date and the evaluation date to be different :
I get the Euribor3M fixing missing for the 1rst of November ( although I can print it with the forecastFixing function)
- when I set the effective date and the evaluation date to be the same
I get the the missing caplet volatility error only
I have noticed that the function " setCoupon Pricer" is not used when debugging the code as it does not step into it. Then I did a search in the code version 0.8.1 and it could not find it.
Thank you
Amandine
----- Original Message ----
From: Luigi Ballabio <
[hidden email]>
To: amandine vincotte <
[hidden email]>
Cc:
[hidden email]
Sent: Wednesday, November 7, 2007 10:05:38 AM
Subject: Re: [Quantlib-users] Floating RateBond
On Tue, 2007-11-06 at 09:26 -0800, amandine vincotte wrote:
> Do I need to set a volatility as well?
No---it is only used if the coupons fix in arrears.
Luigi
--
There are no rules of architecture for a castle in the clouds.
-- Gilbert K. Chesterton
__________________________________________________
Do You Yahoo!?
Tired of spam? Yahoo! Mail has the best spam protection around
http://mail.yahoo.com
-------------------------------------------------------------------------
This SF.net email is sponsored by: Splunk Inc.
Still grepping through log files to find problems? Stop.
Now Search log events and configuration files using AJAX and a browser.
Download your FREE copy of Splunk now >>
http://get.splunk.com/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users