Am 13.09.2011 10:12, schrieb Roland Lichters:
> Hi Andreas,
>
> have a look at the OptionletStripper and StrippedOptionletAdapter classes in ql/termstructures/volatility/optionlet.
> They would bootstrap caplet vols from a cap matrix (by term and strike). There are optionletstripper tests as well.
> As far as I know there is no bootstrap from ATM cap vols though, if you are looking for that.
>
> Regards,
> Roland
>
Hi Roland,
thanks for the heads up; from looking at the class documentation there
remains the question how to align the optionlet term structure with that
of the LMM fixing dates?
Would I have to align the tenors of the associatead cap/floor vola
surface to achieve this?
Are the resulting optionlet volas valid input for the LMM volatilities?
What does the parameter to the optionletStrikes() and
optionletVolatilities() methods do?
And what function does the IborIndex parameter have?
Rgds,
Andreas
> On 13 Sep 2011, at 09:55, Andreas Spengler wrote:
>
>> Hi,
>>
>> is there a helper class in QL allowing the bootstrapping of forward
>> volas (presumably needed in the QL implementation of the LMM) from
>> implicit C/F Volas?
>>
>> Best regards,
>>
>> Andreas
>>
>>
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