On 07/18/2006 01:55:44 PM, Roland Lichters wrote:
> the QuantLib test-suite (capfloor.cpp) checks that the put/call =20
> parity (capNPV - floorNPV =3D swapNPV) holds. It seems to me that this =20
> test is passed successfully only as long as one chooses term =20
> structure daycount Actual360(), see function setup() in capfloor.cpp.
>=20
> I assume that the term structure daycounter should not have this
> effect on pricing results. Shouldn't it be arbitrary?
Yes and no. For instance, the swap price changes---the coupons will =20
have the same fixings, but the discount factors will change due to the =20
different day-count convention. The change has a smaller effect on the =20
cap and floor (where fixing and discounting are not so neatly =20
separated) hence the failure. I've put a warning in the documentation =20
for the Black engine until we figure out what to fix.
Later,
Luigi
P.S. Yes, the caplet-bootstrapping tool would be interesting.
----------------------------------------
Anyone who says he can see through women is missing a lot.
-- Groucho Marx
|
