Sparse CapFlr Vols

Key Sparse CapFlr Vols in CapFlr Vol Spec refers to an optional boolean that determines whether the market vol quotes supplied as input to the Vol Curve object through the keys Vol Table and - if ATM vols are also included - Vol Set, can be accepted as a sparse set of quotes or not.
The default is FALSE, which means that the supplied quotes in Vol Table must fill without gaps a maturity-strike table.
Then, if the vols for individual optionlets need to be known during the bootstrapping process, the Incl Missing CapFlrs entry prescribes how this is achieved.

If set to TRUE, all aupplied quotes are understood in a stand-alone sense, which allows the existence of gaps (empty cells) in Vol Table
Then, a two-dimensional grid is set that spans all referenced maturities and strikes - including the atm strikes, if any - and the empty cells in that grid are filled by interpolating the values of the non-empty cells.
The latter interpolation is carried out by applying the methods specified in CapFlr T Interp , CapFlr K Interp , , CapFlr Lower K Extrap and CapFlr Upper K Extrap.