Posted by
Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/Error-irregular-fixings-not-yet-supported-in-LMM-calibration-with-CapHelpers-tp6725p6726.html
Hi Luca
On Wednesday 01 October 2008 11:00:11 luca ferraro wrote:
>
> 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".
>
> What I understand is that the maturity of caplets should be close enough
> to index tenor fixings, is it right?
yes.
> 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?
Reference date of the term structure used to instantiate the calibraton helper
and the index should be
index->fixingCalendar().advance(todaysDate,
index->fixingDays(), Days);
I guess the best way to fix it is to roll your bootstrapped curve forward by
index->fixingDays() (or for a quick check generate a second term structure
equal to the first one except that the first date is set to
index->fixingCalendar().advance(todaysDate,
index->fixingDays(), Days);
instead of today. That the way it is done in the test case.) Please post your
example code if this doesn't help.
best regards
Klaus
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