Re: [Quantlib-dev] MakeCms Capped Rate

[Peter C. <pca...@gm...>]

I don't know, but if the issue is still there, shouldn't we better fix
it in the NumericHaganPricer by introducing a hard upper integration
bound at 2 ?
Peter


On 18 February 2014 07:51, Ferdinando M. Ametrano
<fer...@am...> wrote:
> 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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