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