> Subject:[Quantlib-users] How to Bootstrap Caplet Volatilities using Quantlib?
> From: Aamir M <
[hidden email]>
> Date: Fri, 26 Jun 2009 14:04:20 -0400
> To:
[hidden email]
>
> 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.
[SNIP]
> 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?
To bootstrap caplet vols, you can use the optionlet stripper classes in QL, have
a look at the test-suite/optionletstripper.cpp source code, you'll get an idea.
Interpolation of the ATM curve and smile volatility matrix can be performed
using CapFloorTermVolCurve and CapFloorTermVolSurface classes respectively.
Hope this helps.
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