Re: [Quantlib-dev] Pricing Callable Capped Floaters within a HullWhite Tree

[Luigi B. <lui...@gm...>]

On 07/19/2006 09:40:46 AM, Toyin Akin wrote:
> I am looking at the possibility of pricing callable capped floater =20
> using QuantLib and it seems like most of the code to price such a =20
> product is more or less within Quantlib already (parts of the logic =20
> is present in different classes).

Toyin,
	I'm afraid I don't have time to go much into details (I'll be =20
in vacation for two weeks starting today and I have a few things to =20
finish before I leave.) However, the implementation of the payoff is as =20
you sketched. As for the callable part, you can look at the code in =20
DiscretizedSwaption for inspiration. Basically, at each exercise date =20
you'll find the value of the note (Libor + cap) as you explained. The =20
exercise price is paid at the exercise date itself, so at the i-th node =20
you'll just set value[i] =3D min(value[i], price).

Hope this helps,
	Luigi


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