OptionletStripper question

Posted by Nathan Abbott on Apr 17, 2008; 11:38pm
URL: http://quantlib.414.s1.nabble.com/OptionletStripper-question-tp5928.html

Hello,

I am looking at the optionletStripper1 class. As an input it uses a volatility term structure. Inside of it, it converts these volatilities into prices. Here in the US the ICAP service provides me with prices and no longer with volatilities (i.e. a grid of cap prices for given maturities and strikes). Any suggestions on how to handle this?

My first thought was to extend the optionletStripper1 class to accept a matrix of prices. Or the CapFloorTermVolSurface could be renamed such that it can also hold prices. Any pointers on how to implement this in a way such that it can become part of the library would be appreciated.

Thank You

-------------------------------------------------------------------------
This SF.net email is sponsored by the 2008 JavaOne(SM) Conference
Don't miss this year's exciting event. There's still time to save $100.
Use priority code J8TL2D2.
http://ad.doubleclick.net/clk;198757673;13503038;p?http://java.sun.com/javaone
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users