Hi,
a quick workaround would be to add strikes to your input surface and
feed them with manually extrapolated quotes.
But in which currency does the problem really occur ? EUR cap quotes
for example are available from 0% , 0.125% , ... , 10% (I think ?).
Peter
On 27 August 2014 20:05, Lapin <
[hidden email]> wrote:
> Hi,
>
> I am playing with the cap/floor vol surfaces calibration.
> So far so good, but I encounter a limitation that is understandable.
> I was wondering if there was a trick I have missed.
>
> In today's markets, the forwards are quite low and generally option vols
> quote from strikes 1.5% (maybe 1%).
> When I use the OptionletStripper2 to integrate the ATM vol quotes, it fails
> since the strike is out of the range [above 1.50%...]
>
> Is there a way to overpass this issue?
>
> Thanks in advance
>
>
>
>
> --
> View this message in context:
http://quantlib.10058.n7.nabble.com/OptionletStripper-in-today-s-markets-tp15800.html> Sent from the quantlib-users mailing list archive at Nabble.com.
>
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