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.
Class Summary Class Description CapletVolatilitySurfaceThis class implements a caplet volatility surface. CapletVolBootstrappingThis class implements a caplet volatility bootstrapper. CapShiftedVolImplements the valuation of a cap via an analytic model, i.e. the specification of a forward curve, discount curve and volatility surface. CapVolMarketDataThis class is a container for all the cap data needed to perform the caplet bootstrapping.
Enum Summary Enum Description CapTenorStructureEnum determining the currency of the observed cap or caplet prices.