Caplet stripping: direct and SABR #1448

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merged 4 commits into from Jan 11, 2017

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@yukiiwashita
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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.
@marc-henrard

Fine for me. Will merge.

@marc-henrard marc-henrard merged commit 95e1869 into master Jan 11, 2017

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@marc-henrard marc-henrard deleted the topic/caplet-stripping-direct branch Jan 12, 2017

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