Uses of Package
net.finmath.marketdata.model.volatility.caplet
Package
Description
Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
Algorithms related to caplet tenor conversion.
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ClassDescriptionEnum determining the currency of the observed cap or caplet prices.This class is a container for all the cap data needed to perform the caplet bootstrapping.
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ClassDescriptionThis class implements a caplet volatility bootstrapper.Enum determining the currency of the observed cap or caplet prices.This class is a container for all the cap data needed to perform the caplet bootstrapping.