Re: [Quantlib-dev] MakeCms Capped Rate

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

Peter,

I am currently not using that code in my day-by-day and have little time to
investigate: I'll just trust your judgement.

by the way, thank you for all your contributions in the recent months,
you've really stepped your game up

ciao -- Nando


On Tue, Feb 18, 2014 at 9:48 AM, Peter Caspers <pca...@gm...>wrote:

> 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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