Hy Jay
On 10/10/07, Jay Walters <
[hidden email]> wrote:
> What structure should I be using to model something like the VCAP data (available through reuters) where I get a grid of strike/tenor and then also an ATM vol? I've found if the ATM vol point isn't taken account of the interpolated vols aren't very close (off 5% for the test case I am using).
what version of the library are you using?
Giorgio, Katiuscia and I are working on this. On the trunk you can use
CapFloorTermVolCurve and CapFloorTermVolSurface.
Giorgio is going to commit today a complete bootstrapping of caplet
volatilities from cap term vol (atm included) using OptionletStripper
and OptionletStripperAdapter. If you work on the trunk stay tuned for
more updated in the coming days.
My suggestion is to stay away from CapsStripper classes, as they will
soon become obsolete.
ciao -- Nando
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