Caplet volatility structure

Posted by amar singh on
URL: http://quantlib.414.s1.nabble.com/Caplet-volatility-structure-tp2702.html

 

How can I get the term structure of calpet volatilities implied by a given model? ( I had used the following for cap volatility, and was wondering if startDate in cap/caphelper could somehow be changed to make it a caplet .Or is there some other better way?) :

 

Handle<Model> modelHW(new HullWhite(rhTermStructure),0.05,0.02);//to plot the curve for a=0.05 / sigma = 0.02

for (double t=1;t<30;t++)

{

 CapHelper capHelperObj(Period(t,Years),RelinkableHandle<MarketElement>(Handle<MarketElement>( new SimpleMarketElement(0.1)),indexSixMonths,rhTermStructure);  //dummy volatility of 0.1

capHelperObj.setPricingEngine(
            Handle<PricingEngine>(new AnalyticalCapFloor(modelHW)));

double npv = capHelperObj.modelprice();

double impliedVolatity = capHelperObj.impliedVolatility(npv, 1e-4,
                1000, 0.05, 0.50)*100.0;

}

 

Regards,

Amar

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