Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/caplet-stripper-extrapolation-problems-tp6892p6893.html
Do you have other curves around that the call to volatility() might use?
(e.g., iYieldTS.) You might want to enable extrapolation on those, too.
Luigi
On Tue, 2010-09-28 at 14:38 +0200,
[hidden email] wrote:
> I have created correctly an optionlet volatility structure and enabled the
> extrapolation as follow
>
> .......
> boost::shared_ptr<IborIndex> EuriborIndex6M(new Euribor6M(iYieldTS));
> boost::shared_ptr<OptionletStripper1> capletStripper1(new OptionletStripper1
> (iCapVolSurface, EuriborIndex6M, Null<Rate>(),
> 1.0e-8));
> boost::shared_ptr<OptionletStripper> capletStripper2(new OptionletStripper2
> (capletStripper1,iATMCapVolCurve));
> boost::shared_ptr<StrippedOptionletAdapter> strippedCapletAdapter(new
> StrippedOptionletAdapter(capletStripper2));
> Handle<OptionletVolatilityStructure> sigma_caplet(strippedCapletAdapter);
> sigma_caplet->enableExtrapolation();
>
> but when I try to compute the caplet vol:
> sigma_caplet->volatility(1.05, 0.02)
>
> it returns the followinig error:
> time(29.5178) is past max curve time (29.5151)
>
> any suggestion to solve this?
>
> Thanks in advance
> Paolo
>
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