Module net.finmath.lib

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

Algorithms related to bootstrapping and interpolation of caplet implied volatilities.
To dos:
The code in this package is still under development and needs some polishing.
  • Class Summary 
    Class Description
    CapletVolatilitySurface
    This class implements a caplet volatility surface.
    CapletVolBootstrapping
    This class implements a caplet volatility bootstrapper.
    CapShiftedVol
    Implements the valuation of a cap via an analytic model, i.e. the specification of a forward curve, discount curve and volatility surface.
    CapVolMarketData
    This class is a container for all the cap data needed to perform the caplet bootstrapping.
  • Enum Summary 
    Enum Description
    CapTenorStructure
    Enum determining the currency of the observed cap or caplet prices.