Re: [Quantlib-users] Pricing of CAP and Swaption with Quantlib

[Christofer B. <bog...@gm...>]

Thanks.

Do we have any timeline when cap / floor pricing for ON coupons will
be available?

Also, some workout examples will be super helpful.

On Sat, Mar 20, 2021 at 12:55 AM Peter Caspers <pca...@gm...> wrote:
>
> Hi Christofer,
>
> we have added a pricer here
>
> https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/cashflows/blackovernightindexedcouponpricer.hpp
>
> inspired by Lyanshenko / Mercurio, Looking forward to backward looking
> rates, section 6.3. Currently there are only the old Libor
> volatilities available as far as I know. I'd expect that there will be
> new volatility quotes in the future and some sort of market formula
> that translates those into standard cap prices. Therefore the
> implementation should be seen as preliminary and proprietary, there
> are other possible approaches. We'll update the method as soon as the
> market develops. I should also mention that there is a bug in the
> github code, line 70 in the cpp should be
>
>         Real stdDev = sigma * std::sqrt(std::max(fixingStartTime, 0.0) +
>                                         std::pow(fixingEndTime -
> std::max(fixingStartTime, 0.0), 3.0) /
>                                             std::pow(fixingEndTime -
> fixingStartTime, 2.0) / 3.0);
>
> which will be in the next ORE release. We also added daily (or
> "local") cap / floor pricing for ON coupons, which will be available
> in that release as well. Hope that helps in one way or the other. Any
> feedback or discussions around this topic are welcome!
>
> Thanks
> Peter
>
> On Wed, 17 Mar 2021 at 18:39, Christofer Bogaso
> <bog...@gm...> wrote:
> >
> > Hi,
> >
> > I am just wondering if there is any implementation to price some
> > Interest Rate Caps and Swaptions where payoff is based on Overnight
> > rate contrary to present Libor references.
> >
> > So far I can only see QL implementation based on Libor.
> >
> > Any reference to OI based pricing would be appreciated.
> >
> > Thanks and regards,
> >
> >
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