Class SabrIborCapletFloorletVolatilityCalibrator

  • public class SabrIborCapletFloorletVolatilityCalibrator
    extends java.lang.Object
    Caplet volatilities calibration to cap volatilities based on SABR model.

    The SABR parameters are represented by NodalCurve. The node positions on the individual curves are flexible and defined in SabrIborCapletFloorletVolatilityCalibrationDefinition. The resulting volatilities object will be SabrParametersIborCapletFloorletVolatilities.

    The calibration to SABR is computed once the option volatility date is converted to prices. Thus the error values in RawOptionData are applied in the price space rather than the volatility space.