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.
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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.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.