[Quantlib-users] Source of cached NPV for caps and floors

[Smith, D. <Dal...@Fi...>]

Hello,

 

After reading the source for the capfloor.cpp unit test, I realized
there is no indication of how the cached values in
CapFloorTest::testCachedValue are calculated. Ditto for the other
hard-coded values in the other methods. Does anyone know the source for
these calculations? I did a Google search to make sure this wasn't
answered already on the mailing list. I can't find anything relevant, so
pointers to any previous message threads are appreciated.

 

Thanks,

Dale Smith, Ph.D.

Senior Financial Quantitative Analyst

Risk & Compliance

Fiserv.

107 Technology Park

Norcross, GA 30092

Office: 678-375-5315

Mobile: 678-982-6599

Mail: dal...@fi... <mailto:dal...@fi...> 

www.fiserv.com <http://www.fiserv.com/>