QLXL: Cap vs. Caplet vols

Posted by mrbp on May 02, 2017; 6:09pm
URL: http://quantlib.414.s1.nabble.com/QLXL-Cap-vs-Caplet-vols-tp18246.html

Hi,

I'm trying to price caps off normal (bp) vols using the Bachelier model w/ QuantLibXL. I've used the qlStrippedOptionlet and qlStrippedOptionletAdapter functions to create the vol surface from imp vols but now realize that the pricing engine prices each caplet with the vol for that tenor/strike as opposed to using a constant vol for the entire cap.

Could someone point me to the functions for build a cap vol surface rather than a caplet vol surface please?

Thanks,

Brian

------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users