Uses of Class
net.finmath.marketdata.model.volatility.caplet.CapVolMarketData
Package
Description
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Algorithms related to caplet tenor conversion.
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Uses of CapVolMarketData in net.finmath.marketdata.model.volatility.caplet
ModifierConstructorDescriptionCapletVolBootstrapping
(CapVolMarketData capVolMarketData, AnalyticModel parsedModel) Overloaded constructor of the caplet bootstrapping class if a correlation provider isn't necessary.CapletVolBootstrapping
(CorrelationProvider correlationProvider, CapVolMarketData capVolMarketData, AnalyticModel parsedModel) The constructor of the caplet bootstrapping class. -
Uses of CapVolMarketData in net.finmath.marketdata.model.volatility.caplet.tenorconversion
ModifierConstructorDescriptionCorrelationProviderTenorBasis
(CapVolMarketData iCap3MCapVolMarketData, CapVolMarketData iCap6MCapVolMarketData)