R: Cap Floor volatility structure builder (SOLVED)

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R: Cap Floor volatility structure builder (SOLVED)

tarpanelli@libero.it
I found an optionletstripper inside the testsuite....So I think I solved the
issue,

P

>----Messaggio originale----
>Da: [hidden email]
>Data: 09/08/2010 9.34
>A: <[hidden email]>
>Ogg: [Quantlib-users] Cap Floor volatility structure builder
>
>Hello,
>
>I am interested to know if it is available some concrete example about how
to
>build a Volatility Term Structure:
>
>My input data are the cap/floor volatilities from VCAP.
>I would like to strip the optionlet volatilities.
>
>Thanks you in advance
>P
>
>

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Re: R: Cap Floor volatility structure builder (SOLVED)

Kim Kuen Tang

Hi P,

[hidden email] schrieb:
> I found an optionletstripper inside the testsuite....So I think I solved the
> issue,
>  

i remember that all functions that you need to define an
optionletstripper are already exported to qlxl. So you can directly
build an excel sheet to use in production.
Btw you can simply integrate the discussion thread by using your
mailer's Reply function.

See the policy page from boost.


      Maintain the Integrity of Discussion Threads

*When starting a new topic, always send a fresh message*, rather than
beginning a reply to some other message and replacing the subject and
body. Many mailers are able to detect the thread you started with and
will show the new message as part of the original thread, which probably
isn't what you intended. Follow this guideline for your own sake as well
as for others'. Often, people scanning for relevant messages will decide
they're done with a topic and hide or kill the entire thread: your
message will be missed, and you won't get the response you're looking for.

By the same token, *When replying to an existing message, use your
mailer's "Reply" function*, so that the reply shows up as part of the
same discussion thread.

-Kim

> P
>
>  
>  


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