Re:Question on Caps/Floors pricing on InArrear cashflows.

Posted by enrico.michelotti on Oct 04, 2005; 12:24am
URL: http://quantlib.414.s1.nabble.com/Re-Question-on-Caps-Floors-pricing-on-InArrear-cashflows-tp4076.html

The CashFlow vector created with InArrearCoupon is corrected,
since the InArrear cap/floor resets at the end of each accrual period when the payment is done (apart for the adjustment of a rolling date).
The only problem is that you cannot anymore use the simple Black pricing, but you need an adjustmnet for the convexity effect.
If I do remember well in Brigo-Mercurio you can find such adjustment.

Enrico
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