Re: [Quantlib-users] DiscountBondOption pricers for QuantLib models

[David D. <nh...@gm...>]

Are you referring to C++ or Python?

Has been supported for some time (version) in C++ and was recently added to
the python module.

Here is an example:

period = ql.Period('2y')
quote = ql.QuoteHandle(ql.SimpleQuote(0.55))
today = ql.Date().todaysDate()
yts = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.02,
ql.Actual360()))
index = ql.Euribor6M(yts)

helper = ql.CapHelper(period, quote, index, ql.Semiannual, ql.Actual360(),
False, yts, ql.BlackCalibrationHelper.RelativePriceError, ql.Normal)

Regards,
David



On Thu, 9 Jul 2020 at 21:14, Amine Ifri <ami...@gm...> wrote:

> Hi Luigi, all,
>
> Hope you are well. Just wanted to check whether Swaption calibration
> helpers in Quantlib support both normal and log-normal volatilities,
> whereas Cap Helpers only support Log normal vols.
>
> Thanks for confirming,
> Amine
>
>
>
>
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