Posted by
Ferdinando M. Ametrano-3 on
Sep 18, 2007; 9:37am
URL: http://quantlib.414.s1.nabble.com/Re-QuantLib-svn-SF-net-SVN-quantlib-12671-trunk-QuantLib-tp9789p9790.html
Hi Luigi
> > renamed capstripper2.*pp as optionletstripper.*pp
>
> Is capstripper to be abandoned, or are they alternative? What's the
> difference between the two?
yes capstripper will be abandoned as we move to better alternatives.
This evolution is tightly related to the work I'm doing on volatility
term structures. the idea is to design the abstract base classes in a
way which enforce more financial constraints depending on the asset
class (equity-fx or interest rate). The interest rate one should also
allow for at least two kind of market smiles, the one quoted as spread
over the atm strike and atm vol, and the one quoted at fixed strikes,
and we need facilities for abcd interpolation of the atm backbone, and
sabr interpolation of the smile. Hopefully in 3-4 weeks the job will
be completed.
In the meantime those interested might take a look at the new classes:
BlackAtmVolCurve (suitable for both equity-fx and interest rate, atm only)
---- AbcdAtmVolCurve (suitable for interest rate, atm only)
---- BlackVolSurface (suitable for both equity-fx and interest rate, atm+smile)
-------- EquityFXVolSurface (suitable for equity-fx, atm+smile)
-------- InterestRateVolSurface (suitable for interest rate, atm+smile)
------------ SabrVolSurface (suitable for interest rate, atm+smile)
ciao -- Nando
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