Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Caplet stripping: direct and SABR #1448

merged 4 commits into from Jan 11, 2017


Copy link

@yukiiwashita yukiiwashita commented Dec 19, 2016

  • DirectIborCapletFloorletVolatilityCalibrator calibrates constituent caplet vols to market data.
  • SabrIborCapletFloorletVolatilityCalibrator calibrates time dependent SABR parameters to market data.
  • PiecewiseCubicHermiteMonotonicityCurveInterpolator for local interpolation with monotonicity.
Copy link

@marc-henrard marc-henrard left a comment

Fine for me. Will merge.

@marc-henrard marc-henrard merged commit 95e1869 into master Jan 11, 2017
2 checks passed
2 checks passed
continuous-integration/travis-ci/pr The Travis CI build passed
continuous-integration/travis-ci/push The Travis CI build passed
@marc-henrard marc-henrard deleted the topic/caplet-stripping-direct branch Jan 12, 2017
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
None yet
Linked issues

Successfully merging this pull request may close these issues.

None yet

3 participants
You can’t perform that action at this time.