Caplet vola class in MarketModel setting

[Andreas Spengler-2]

Hi,

could someone please tell me which MarketModel-derived class (replacing
FlatVol) I could use, if I want to incorporate a caplet vola surface into
my program?

Best Rgds,

Andreas


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[Peter Caspers-2]

e.g. abcdVol (though not guaranteeing a perfect fit).
Peter

-----Ursprüngliche Nachricht-----
Von: Andreas Spengler [mailto:[hidden email]]
Gesendet: Freitag, 27. Mai 2011 08:55
An: [hidden email]
Betreff: [Quantlib-users] Caplet vola class in MarketModel setting

Hi,

could someone please tell me which MarketModel-derived class (replacing
FlatVol) I could use, if I want to incorporate a caplet vola surface into
my program?

Best Rgds,

Andreas


----------------------------------------------------------------------------
--
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With the market-leading solution for virtual backup and recovery,
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Download your free trial now.
http://p.sf.net/sfu/quest-d2dcopy1
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[Andreas Spengler-2]

To follow up on this:

On 27.05.2011 08:54, Andreas Spengler wrote:

> could someone please tell me which MarketModel-derived class (replacing
> FlatVol) I could use, if I want to incorporate a caplet vola surface into
> my program?

What volas are actually expected in the FlatVolFactory? The fwd volas
for the next time period? Or something else?

Best rgds,
Andreas

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