Re: Shifted Log Normal in QuantLib XL

Posted by Sparviero on Jun 09, 2015; 7:15am
URL: http://quantlib.414.s1.nabble.com/Shifted-Log-Normal-in-QuantLib-XL-tp16511p16641.html

Hi Luigi,

I tried Yesterday the pricing of plain CF via a displaced 3% Black; seems it doesen't work.

The OptionletVolatilityStripper1, as you told me some days ago, instantiate a qlBlackCapFloorEngine without chance of set a displacement...hence it fails trying to bootstrap fwd vol relative to a negative strike.

Doing the bootstrap in a less automated way I tried to price each caplet explicit, creating engines and optionletVols but other problems arose:

When I trigger the engine to get the NPV the error log tell me that strike (-0.5%) + displacement (0.0) must be positive, but the variable displacement has value 0.03....

I'm doing the pricing shifting strikes and IR curves but is not the solution I'm looking for..any hints?


Cheers,

Iacopo