Posted by
amandine vincotte on
Nov 06, 2007; 6:38pm
URL: http://quantlib.414.s1.nabble.com/Floating-RateBond-tp1544p1552.html
Sorry for bombarding you with mails .... but there is a 3rd error type I get that I do not understand when running the NPV function.
I get the error message which says " Missing Euribor3M Actual/360 fixing for November 1st ,2007"
So to double check I use the function ForecastFixing(date) for the 1rst of November and it does return a results.
boost::shared_ptr<IborIndex> euriborIndex(new Euribor3M(dfc));
Date test(1,Month(11),2007);
cout<<euriborIndex->forecastFixing(test)<<endl;
cout<<test<<endl;
I find it puzzling...
Thank you
Amandine
----- Original Message ----
From: amandine vincotte <
[hidden email]>
To:
[hidden email]
Cc:
[hidden email]
Sent: Tuesday, November 6, 2007 5:26:13 PM
Subject: Re: [Quantlib-users] Floating RateBond
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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