Class SurfaceIborCapletFloorletVolatilityBootstrapper

  • public class SurfaceIborCapletFloorletVolatilityBootstrapper
    extends Object
    Caplet volatilities calibration to cap volatilities based on interpolated surface.

    The caplet volatilities are computed by bootstrapping along the expiry time dimension. The result is an interpolated surface spanned by expiry and strike. The position of the node points on the resultant surface corresponds to last expiry date of market caps. The nodes should be interpolated by a local interpolation scheme along the time direction. See SurfaceIborCapletFloorletVolatilityBootstrapDefinition for detail.

    If the shift curve is not present in SurfaceIborCapletFloorletBootstrapVolatilityDefinition, the resultant volatility type is the same as the input volatility type, i.e., Black caplet volatilities are returned if Black cap volatilities are plugged in, and normal caplet volatilities are returned otherwise. On the other hand, if the shift curve is present in SurfaceIborCapletFloorletBootstrapVolatilityDefinition, Black caplet volatilities are returned for any input volatility type.