[Quantlib-dev] Question on Caps/Floors pricing on InArrear cashflows.

[Toyin A. <toy...@ho...>]

Hi all,

Within Quantlib you can create an array of cashflows which can then be 
passed into the CapFloor constructor.

My question is whether the pricing logic within the CapFloor class is 
correct for InArrear cashflows?

The CapFloor class takes as it's exercise date for all the 
caplet's/floorlet's the fixing date of the coupon.

Under a UpFrontIndexedCoupon this would be settleDays before the start date 
of the period.
Under an Inarrearindexedcoupon this would be settleDays before the end date 
of the period.

Thus when pricing a caplet/floorlet which is based on an 
Inarrearindexedcoupon, should the
exercise date still be settleDays before the start date of the period?

My guess is that the exercise date should be settleDays before the start 
date of the period.

Best Regards,
Toyin Akin.