Swap rate with cap/floors in qlXL
Posted by
Paolo Tenconi on
URL: http://quantlib.414.s1.nabble.com/Swap-rate-with-cap-floors-in-qlXL-tp8719.html
Hi,
I'm pricing a swap using qlSwap and all is fine.
Now I'd like to introduce a cap/floor on the rates implicit in the input curve so that, each payment at a generic time "t" is equal to
pay_t = Nominal * delta_t * {max[min(L_t, L_cap), L_floor] - K}
where
- L_t it the libor implicit in the curve
- L_cap is the cap to be placed on implicit libor
- L_floor is the floor to be placed on the implicit libor
- K is the swap rate
After having set a volatility=0 in qlIborCouponPricer, I've set into qlIborLeg function: Floors=L_floor and Caps=L_cap .
However with the equality L_floor = L_cap I didn't find as a result K=L_floor=L_cap as I expected.
Can anyone tell me if is it possibile in qlXL to price a swap with cap/floors,
and if/how Floors and Caps in qlIborLeg can affect the payoff "pay_t"?
Many thanks in advance for any help...
Paolo
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