CapFlr Vol Spec


CapFlr Vol Spec is a direct subtype of Int Rate Data
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with functions CapFlr Vol Spec Functions, keys CapFlr Vol Spec keys and example object CapFlrVolSpec

TYPE INCLUSION RELATIONSHIPS

Int Rate Data

CapFlr Vol Spec

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Bootstrap Spec

Calendar

CapFlr Interp2D

CapFlr K Interp

CapFlr Lognorm Shift

CapFlr Lower K Extrap

CapFlr T Interp

CapFlr Upper K Extrap

CapFlr Vol Type

Date Bump

DayCount

Flat First Period

Incl Missing CapFlrs

Include ATM

Instrument Type

OI Term Model

Optlet Allow Extrap

Optlet K Extrap

Optlet K Interp

Optlet K Interpolator

Optlet T Extrap

Optlet T Interp

Optlet T Interpolator

Quote Type

SettleDays

Sparse CapFlr Vols

Tolerance

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TYPICAL OBJECTS OF TYPE CapFlr Vol Spec

CapFlrVolSpec

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This type represents specification parameters pertaining to the building of a two-dimensional surface of optionlet (i.e. caplet or floorlet) volatilities by bootstrapping supplied interest rate cap/floor volatilities.
More specifically, each cap (floor) - represented by the Deriscope TypeCapFloor - is essentially a sum of caplets(floorlets) - collectively known as optionlets that share the same strike.
Assuming that all perceivable optionlets have the same length - eg 3 months -, the purpose of the bootstrapping is to assign a vol (σᵢⱼ) to each optionlet characterized by the pair (Tᵢ,Kⱼ), where Tᵢ is the optionlet's expiry and Kⱼ is the optionlet's strike.
Assuming further an interpolation scheme along the time and strike axes, it is possible to assign a vol to any standard length optionlet associated with every possible pair (T,K), even when the T and K do not match the given Tᵢ and Kⱼ and thus construct a continuous two-deminsional optionlet vol surface.