Hello,
I have never used Quantlib before but am interested in applying to it
my specific problem. I want to use the Black76 formula to bootstrap
caplet prices from broker quoted cap data. Specifically I am getting
LIBOR cap volatility quotes from ICAP found on Bloomberg on the
VOLS<GO> pages. There are two challenges:
(1) ICAP quotes CAP vols, not CAPLET vols. So a bootstrap procedure is required.
(2) ICAP does not provides cap vol quote for all maturities. Whereas
LIBOR caps have quarterly resets, the brokers only quote cap vols for
annual maturities and they don't even cover every annual maturity. For
a given cap rate (i.e. strike price), the cap vol quotes are available
only for the following annual maturities: 1, 2, 3, 4, 5, 6, 7, 8, 9,
10, 11, 12, 15, and 20 yrs. So the bootstrap procedure is a
non-starter unless we do some kind of approximation (but what?) ...
Does QuantLib have necessary functionality for implementing this
bootstrap procedure? If so, where should I begin in terms of the
Quantlib classes? And how would I handle issue (2) above?
Thanks,
Aamir
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