Module net.finmath.lib

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

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

Algorithms related to caplet smile interpolation.

Related Packages

Package	Description
net.finmath.marketdata.model.volatility.caplet	Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
net.finmath.marketdata.model.volatility.caplet.tenorconversion	Algorithms related to caplet tenor conversion.

Class	Description
LinearSmileInterpolater	This class implements the smile linearly and extrapolates piecewise constant.
SmileInterpolationExtrapolationMethod	Interface for a Smile inter and extrapolation.