quantlib-dev

[Quantlib-dev] callable floating rate note

[adam99 <ada...@gm...>]

Is there a coverage for American callable floating rate note in Quantlib? I
am primarily interested in pricing with single factor HW.

Thanks 
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Re: [Quantlib-dev] callable floating rate note

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

On Sat, 2011-07-23 at 08:49 -0700, adam99 wrote:
> Is there a coverage for American callable floating rate note in Quantlib? I
> am primarily interested in pricing with single factor HW.

We have callable fixed-rate note in <ql/experimental/callablebonds>, but
not floating-rate.  If you want to give it a try, you could look at the
way the floating-rate leg is computed in the DiscretizedSwap class
(<ql/pricingengines/swap/discretizedswap.hpp>.)  You could do something
similar and add the redemption.  A harder problem would be to include
credit risk; you'd probably need two HW trees with the same structure
(one for forecasting, the other including credit for discounting.)

Luigi


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