CapFlr ATM

Subtype of Vol Input

This type is exclusively used to describe the volatility of forward interest rate ibor or oi term rates as a one-dimensional time-dependent vol curve.

Web blog example here
It thus only makes sense if the entry Ref Quotable defined within Vol Ref relates to an Ibor Rate or OI Term Rate.
The volatility depends on Maturity only - but not on the strike - and specified by a Set object containing ATM (At-The-Money) cap volatilities for various maturities.

In the case of backward looking oi term rates, the treatment below applies:
Web reference available here