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

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

Hi Christofer, this is released code, so you can do it today.
Thanks, Peter

On Sun, 21 Mar 2021 at 19:46, Christofer Bogaso
<bog...@gm...> wrote:
>
> 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,
> > >
> > >
> > > _______________________________________________
> > > QuantLib-users mailing list
> > > Qua...@li...
> > > https://lists.sourceforge.net/lists/listinfo/quantlib-users