Posted by
amandine vincotte on
URL: http://quantlib.414.s1.nabble.com/Re-Floating-RateBond-missing-caplet-volatility-tp5256.html
Hi,
I am defining a vanilla floating rate bond ( so the constructor has empty caps and floors vectors as below).
When I set the "In arrears=false", I get a price for the FRN.
But when I set " in arrears=true" ,like most of the FRNs are, I get this error " missing caplet volatility".
I dont understand this error because I have defined a plain vanilla FRN.
Thank you for your help
Regards,
Amandine
FloatingRateBond FRN(0,100,floatSchedule,euriborIndex,dayCount,conv,2,vector< Real >(1,1.0),spreads,vector< Rate >() ,vector< Rate >(),false,100,Date(),discountingTermStructure);
----- Original Message ----
From: Luigi Ballabio <
[hidden email]>
To: amandine vincotte <
[hidden email]>
Cc:
[hidden email]
Sent: Monday, November 12, 2007 4:27:31 PM
Subject: Re: [Quantlib-users] Floating RateBond
On Wed, 2007-11-07 at 02:36 -0800, amandine vincotte wrote:
> I get two types of errors:
> - when I set the effective date and the evaluation date to be
> different :
> I get the Euribor3M fixing missing for the 1rst of November
> ( although I can print it with the forecastFixing function)
November 1st is in the past, so you have to provide the fixing (even
though it could forecast it somehow---but I wouldn't trust
forecastFixing() in this case. It should probably be in the private
interface.) You can do it by adding
euriborIndex->addFixing(Date(1,November,2007), rate);
where rate is the fixing value.
> - when I set the effective date and the evaluation date to be the same
> I get the the missing caplet volatility error only
Hmm. I thought we didn't need a volatility in this case. Apparently, we
did a very thorough job of making simple things difficult. Let me
check... No, I see it now. When you initialize your FRN, you're passing
vector<Rate>(1,0.0) as both caps and floors---which doesn't make much
sense. If you want to say "no caps" or "no floors", pass an empty vector
instead, i.e., vector<Rate>().
If you do want to pass a cap and/or a floor (not both 0.0, though...)
you'll need a caplet volatility.
Luigi
--
The economy depends about as much on economists as the weather does on
weather forecasters.
-- Jean-Paul Kauffmann
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