Class SabrIborCapletFloorletVolatilityBootstrapper

  • public class SabrIborCapletFloorletVolatilityBootstrapper
    extends Object
    Caplet volatilities calibration to cap volatilities based on SABR model.

    The SABR model parameters are computed by bootstrapping along the expiry time dimension. The result is a complete set of curves for the SABR parameters spanned by the expiry time. The position of the node points on the resultant curves corresponds to market cap expiries, and are interpolated by a local interpolation scheme. See SabrIborCapletFloorletVolatilityBootstrapDefinition for detail.

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