net.finmath.marketdata.model.volatility.caplet.smile (finmath lib 5.0.4 API)

Algorithms related to caplet smile interpolation.

Interface Summary
Interface Description

SmileInterpolationExtrapolationMethod
Interface for a Smile inter and extrapolation.
Class Summary
Class Description

LinearSmileInterpolater
This class implements the smile linearly and extrapolates piecewise constant.

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