Posted by
suhasg on
Jan 23, 2015; 3:13pm
URL: http://quantlib.414.s1.nabble.com/TermStructure-times-tp16189p16194.html
You are right, there is no call to TermStructure's times() method.
I guess my problem is, I am not sure what SwaptionHelper::addTimesTo() method is returning, is it list of yearfractions for the
Floating leg resets of the underlying swap ?
Also, I am trying to figure out why only "1x5, 2x4, 3x3, 4x2, 5x1" swaptions are considered for calibration? If I have ATM vols for 3x5 swaption,
am not supposed to create a swaptionhelper object for it and ultimately use it in calibration?
Thanks so much,
Suhas.
-----Original Message-----
From: Peter Caspers [mailto:
[hidden email]]
Sent: Friday, January 23, 2015 3:56 AM
To: Ghorpadkar, Suhas
Cc:
[hidden email]
Subject: Re: [Quantlib-users] TermStructure->times()
as far as I can see in L186 SwaptionHelper::addTimesTo() is used to
fill the times list, which later on the basis for a time grid (L190).
Where do see a call to a term structure's times() method ?
Peter
On 22 January 2015 at 22:35, Ghorpadkar, Suhas
<
[hidden email]> wrote:
> Hello,
>
>
>
> I am going through the Bermudan swaption example and noticed that when
> calibrating HW, to build TimeGrid, termstructure’s times() method is called.
>
> I am not clear about exactly what this method returns.
>
> Since this is called inside a loop, why would the TermStructure return
> different results for each swaptionhelper?
>
>
>
> Thanks in advance,
>
> Suhas.
>
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