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From: Luigi B. <lui...@gm...> - 2005-12-16 13:42:28
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On 11/13/2005 05:40:05 PM, Toyin Akin wrote: > A 10 year swap starting from spot (ValueDate+SettleDays). >=20 > Let's also have a swaption structure where we want to have the option =20 > (European let's say) of cancelling this swap at year 5. >=20 > It looks like if you were simply to pass in the 10 year swap object =20 > created above to the swaption() class, the swaption class (along with =20 > all it's various pricing engines) assumes that the swap starts after =20 > the exercise date and simply uses all the cashflows within the swap, =20 > even those before the first exercise date. Thus mispricing the option. Right (except for TreeSwaptionEngine, which prices the swaption =20 correctly.) I'll see what I can do. Luigi ---------------------------------------- Every solution breeds new problems. -- unknown |