Tag Info

New answers tagged

0

QuantLib now included as part of Ceemple, a rapid JIT based C++ technical coputing environment. Available (free) from http://www.ceemple.com.


2

Answering my own question: All the indicated numbers as obtained from ICAP need to be divided by 100, as they are percentages The OptionletStripper1 takes an IborIndex, which should have a tenor equal to 1Y. I had set it to 6M, and that seemed to cause problems Ouch!


2

Answering my own question: use qlFloatingRateBond and pass it a range of strikes (one for each coupon) for both Caps and Floors arguments use BondEngine as pricing engine use IborCouponPricer with Type argument equal to "IborByBlack" as coupon pricer - This pricer also takes an OptionletVolatilitySurface as input the OptionletVolatilitySurface can be ...



Top 50 recent answers are included