Posted by
Ferdinando Ametrano-4 on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7634.html
On Thu, Sep 10, 2009 at 2:54 AM, Yan Kuang <
[hidden email]> wrote:
> In the constructor of SwaptionVolCube2, there are two swap index:
>
> const boost::shared_ptr<SwapIndex>& swapIndexBase,
> const boost::shared_ptr<SwapIndex>& shortSwapIndexBase,
>
> I can't understand why we need two swap indices. I can only guess different
> swap tenor may require different index.
the input swapIndexBase is used to convey all the convention details
for options' underlying swaps (the only unused info it's its tenor).
Since in the EUR swap market the conventions are different for the
(short tenor) 1Y swap, here's the need for a second
shortSwapIndexBase.
I own you a couple of answer about optionletvol and swaptionvol: sorry
for being late, I'll catch up soon... stay tuned
ciao -- Nando
------------------------------------------------------------------------------
Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
trial. Simplify your report design, integration and deployment - and focus on
what you do best, core application coding. Discover what's new with
Crystal Reports now.
http://p.sf.net/sfu/bobj-july_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users