Re: Floating Rate on Trinomial tree

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Floating-Rate-on-Trinomial-tree-tp3933p3934.html

On 07/25/2005 07:37:27 AM, Kim, Hyung Geun wrote:
>
> My question is,
> 1. How does quantlib calculate all the floating(like 3M Libor) rate  
> of swap in tree framework?
>     I want to see actual estimated floating rates on each node and  
> how they are calculated.
>     (Swap pricing example via BK(HW) module will be helpful )

There's a DiscretizedSwap class in the library which does this---look  
into ql/PricingEngines/Swaption/discretizedswaption.[hc]pp for details.
(In short, one rolls a unit payoff back over three months and obtains  
the corresponding discount at each node. From there, the Libor is just  
a formula away.)

Later,
        Luigi


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