CapFlr Surface
Subtype of Vol InputThis type is exclusively used to describe the volatility of forward interest rate ibor or oi term rates as a two-dimensional time and strike-dependent vol surface.
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 both Maturity and strike and specified by a Table2D object containing cap volatilities for various (maturity,strike) combinations.
One dimension must span the maturities and carry the title #Maturity, while the other must span the strikes and carry the title #Strike.
In the case of backward looking oi term rates, the treatment below applies:
Web reference available here