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

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

Understood. I'll try to validate against Bloomberg. I'll keep the list
informed.

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...
www.fiserv.com

-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: Friday, January 27, 2012 9:26 AM
To: Smith, Dale
Cc: qua...@li...
Subject: Re: [Quantlib-users] Source of cached NPV for caps and floors

Hello Dale,
    I guess testCachedValue is just a test that figures don't change
(the behavior is tested in the rest of the suite) so they're probably
whatever values came out the first time the test was run...

Luigi

On Thu, Jan 26, 2012 at 10:08 PM, Smith, Dale <Dal...@fi...>
wrote:
> 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.
>