Re: [Quantlib-dev] [Quantlib-users] termstructure daycounter and put/call parity

[Ferdinando A. <na...@am...>]

Hi Roland

the bug it's been fixed on the CVS trunk. Please let me know if you still
have problem

ciao -- Nando


On 7/18/06, Roland Lichters <Rol...@we...> wrote:
>
>  Hello all,
>
> the QuantLib test-suite (capfloor.cpp) checks that the put/call parity
> (capNPV - floorNPV = swapNPV) holds. It seems to me that this test is passed
> successfully only as long as one chooses  term structure daycount
> Actual360(), see function setup() in capfloor.cpp.
>
> After setting this to e.g. ActualActual(ActualActual::ISDA) and keeping
> anything else unchanged, the test suite fails with the following messages ..
>
> Running 236 test cases...
> capfloor.cpp(283): fatal error in "CapFloorTest::testParity": put/call
> parity violated:
>     length:      1 years
>     volatility:  1.000000 %
>     strike:      3.000000 %
>     cap v alue:   2.01507
>     floor value: 0
>     swap value:  1.94683
>
> .. because the  cap price is overstated.
>
> I assume that the term structure daycounter should not have this effect on
> pricing results. Shouldn't it be arbitrary?
>
> Would you please have a quick look and correct me if I am wrong.
>
> I noticed this while building a small caplet volatility bootstrap tool
> that I'd like to contribute (eventually) if there is any interest.
>
> Many thanks for your efforts,
>
> Roland
>
>
>
>
>
>
>
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