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

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

Great, thanks!

Just wondering if there is any example on this implementation either
in C++ or Python. The payoff of such instruments is based on
Arithmetic/Geometric average of OI rate over the tenor.

Thanks and regards,

On Fri, Apr 9, 2021 at 1:16 PM Peter Caspers <pca...@gm...> wrote:
>
> 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,
> > > >
> > > >
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