Posted by
amandine vincotte on
Nov 06, 2007; 5:26pm
URL: http://quantlib.414.s1.nabble.com/Floating-RateBond-tp1544p1550.html
Hi again,
Do I need to set a volatility as well? It says it is missing the caplet volatility also I have defined a plain vanilla floating rate bond.
Many thanks.
Amandine
----- Original Message ----
From: Luigi Ballabio <
[hidden email]>
To: amandine vincotte <
[hidden email]>
Cc:
[hidden email]
Sent: Tuesday, November 6, 2007 3:39:08 PM
Subject: Re: [Quantlib-users] Floating RateBond
On Tue, 2007-11-06 at 07:17 -0800, amandine vincotte wrote:
> It prints: "Pricer not set".
> What does this mean?
Oh, right. In version 0.8, there was no default for coupon pricers.
You'll have to explicitly write how to evaluate the coupon.
After you create the bond and before calling NPV(), write
boost::shared_ptr<IborCouponPricer> pricer(new BlackIborCouponPricer);
setCouponPricer(FRN.cashflows(),pricer);
In next release, this will no longer be necessary.
Luigi
--
Ogden's Law:
The sooner you fall behind, the more time you have to catch up.
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