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Caplet stripping: direct and SABR #1448

merged 4 commits into from Jan 11, 2017


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@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.

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@marc-henrard marc-henrard left a comment

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Fine for me. Will merge.

@marc-henrard marc-henrard merged commit 95e1869 into master Jan 11, 2017
@marc-henrard marc-henrard deleted the topic/caplet-stripping-direct branch January 12, 2017 10:01
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3 participants