Re: [Quantlib-dev] MakeCms Capped Rate

[Ferdinando M. A. <fer...@am...>]

Mmm... I seem to remember something about the only existing model at the
time having issues on integrating the smile up to infinitum.
Is this not the case anymore?
 On Feb 17, 2014 8:36 PM, "Peter Caspers" <pca...@gm...> wrote:

> Hi,
>
> is there a reason that the standard cms swaps constructed with MakeCms
> have a capped rate
> at 200% ?
>
>
> https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/instruments/makecms.cpp#L43
>
> If no one objects I would like to send a pull request to remove the
> cap. This might impact results
> in existing code though, so I thought I better ask here.
>
> Thank you
> Peter
>
>
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