Module net.finmath.lib

Package net.finmath.marketdata.model.volatility.caplet

package net.finmath.marketdata.model.volatility.caplet

Algorithms related to bootstrapping and interpolation of caplet implied volatilities.

To dos:

The code in this package is still under development and needs some polishing.

Related Packages

Package	Description
net.finmath.marketdata.model.volatility.caplet.smile	Algorithms related to caplet smile interpolation.
net.finmath.marketdata.model.volatility.caplet.tenorconversion	Algorithms related to caplet tenor conversion.

Class	Description
CapletVolatilitySurface	This class implements a caplet volatility surface.
CapletVolBootstrapping	This class implements a caplet volatility bootstrapper.
CapShiftedVol	Implements the valuation of a cap via an analytic model, i.e.
CapTenorStructure	Enum determining the currency of the observed cap or caplet prices.
CapVolMarketData	This class is a container for all the cap data needed to perform the caplet bootstrapping.