CapFlr T Interp


Key CapFlr T Interp in
CapFlr Vol Spec refers to a choice from the list Interp Method
Currently, only the elements
variant_#20are allowed.
The entry here is optional, used only if
Sparse CapFlr Vols = true and supplies the interpolation method with respect to the cap/floor expiry time as described in Sparse CapFlr Vols
If omitted, the default is
Cubic
If the value here is
Cubic, the assumed default Interpolation object equals that associated with Nat Cubic.