Hi,
I am currently using QL in a project to price Structured Floaters; as part
of the incoming data I would like to use to parameterize the LFM we are
receiving (annualized) atm cap/floor volatilities...
I tried using OptionletStripper1/2 to get caplet volas from those;
however, OptionletStripper2 is not usable since it relies on
OptionletStripper1 which in turn needs a vol surface instead of a vol
curve.
Anyhow, "faking" a vol surface by setting all values to the atm vols gave
me only zeros upon calling OptionletStripper1::optionletVolatilities()
Am I doing something fundementally wrong here and/or is there some other
class/method which I can use for the purpose?
Thanks for any help and best regards,
Andreas
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