Posted by
luca ferraro-2 on
URL: http://quantlib.414.s1.nabble.com/Error-irregular-fixings-not-yet-supported-in-LMM-calibration-with-CapHelpers-tp6725.html
I already posted a similar message using gmane, but it seems that it was
lost. In case, sorry for the duplication ...
I'm playing with the QL LMM framework, trying to reproduce the Black
price of a vanilla european swaption. I use the LMM example in the
test-suite directory as a guide.
The problem comes during LMM calibration with CapHelpers (using ATM CAPS
taken from market quotes for 1Y, 2Y, ... , 10Y, 12Y, 15Y, 20Y for a LMM
tenor based on a EURIBOR 6M index) I got the following error "irregular
fixings not (yet) supported".
Using the debugger, I see that the problem is in the
LiborForwardModel::discountBondOption on the QL_REQURE:
QL_REQUIRE( i<process_->size()
&& std::fabs(maturity - accrualStartTimes[i])
< 100*std::numeric_limits<Real>::epsilon()
&& std::fabs(bondMaturity - accrualEndTimes[i])
< 100*std::numeric_limits<Real>::epsilon(),
"irregular fixings are not (yet) supported");
What I understand is that the maturity of caplets should be close enough
to index tenor fixings, is it right? How can I do that?
In the test-suite example a termstructure is build with a reference date
different from todays date (evaluation date), but in my code I already
build a termstructure (bootstrapping with calibration helpers) that
starts at todays date. Any help please?
thank you in advance,
luca
--
Luca Ferraro
Gruppo Scienze dei Materiali
CASPUR (Consorzio per le Applicazioni di
Supercalcolo Per Università e Ricerca)
Via dei Tizii, 6b - 00185 ROMA
Tel. +39-06-44486717
Fax: +39-06-4957083
cell: +39-339-7879898
Email:
[hidden email]
Web:
http://www.caspur.it-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users