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

[Amine I. <ami...@gm...>]

Thanks David, I am running C++
I am running an old QL version (1.9.2) thats probably why.

Thanks!

> On 9 Jul 2020, at 21:32, David Duarte <nh...@gm...> wrote:
> 
> 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... <mailto: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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