Posted by
Yan Kuang on
URL: http://quantlib.414.s1.nabble.com/reference-of-boost-shared-ptr-instead-of-Handle-tp7623p7635.html
[hidden email] wrote on 10/09/2009
06:36:08 PM:
> 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 guessdifferent
> > 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
As I pointed in the last email, Aussie market has
similar situation (under 3 year
swaps are different from 4 years and plus). But that
has been handle in the swap index.
A general way to handle this is to passing a vector
of swap index for each swap tenor,
the dimension of the vector should be same as that
of swaps vector.
There are may be a clever way of doing this, e.g.,
passing in a generic swap index.
The generic swap index should be able to tell
you the market conventions
for each tenor.
Thanks,
Yan
Please consider our environment before printing this email.
WARNING - This email and any attachments may be confidential. If received in error, please delete and inform us by return email. Because emails and attachments may be interfered with, may contain computer viruses or other defects and may not be successfully replicated on other systems, you must be cautious. Westpac cannot guarantee that what you receive is what we sent. If you have any doubts about the authenticity of an email by Westpac, please contact us immediately.
It is also important to check for viruses and defects before opening or using attachments. Westpac's liability is limited to resupplying any affected attachments.
This email and its attachments are not intended to constitute any form of financial advice or recommendation of, or an offer to buy or offer to sell, any security or other financial product. We recommend that you seek your own independent legal or financial advice before proceeding with any investment decision.
Westpac Institutional Bank is a division of Westpac Banking Corporation, a company registered in New South Wales in Australia under the Corporations Act 2001 (Cth). Westpac is authorised and regulated in the United Kingdom by the Financial Services Authority and is registered at Cardiff in the United Kingdom as Branch No. BR 106. Westpac operates in the United States of America as a federally chartered branch, regulated by the Office of the Comptroller of the Currency.
Westpac Banking Corporation ABN 33 007 457 141.
------------------------------------------------------------------------------
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