Analytic Cap/Floor Pricing Engine

Posted by Aurelien Chanudet-2 on
URL: http://quantlib.414.s1.nabble.com/Analytic-Cap-Floor-Pricing-Engine-tp3522.html

Hi,

I'm uncomfortable with the way the analytic cap/floor
pricing engine (which a Hull-White model) handles
caplets that have fixed but whose cash-flow hasn't
been paid yet (that is, when time zero falls after the
beginning of the capping period but before the end of
the capping period). As I see it, the price of the
caplet in this case is simply the present value of a
known (deterministic) payoff. However, QuantLib
apparently wants to apply a Black-Scholes like pricing
formula which fails to work in this case. Am I missing
something ?

Thanks,
Aurelien


       

       
               
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