Hello,
I am looking at the optionletStripper1
class. As an input it uses a volatility term structure. Inside of it,
it converts these volatilities into prices. Here in the US the ICAP
service provides me with prices and no longer with volatilities (i.e. a
grid of cap prices for given maturities and strikes). Any suggestions
on how to handle this?
My first thought was to extend the
optionletStripper1 class to accept a matrix of prices. Or the
CapFloorTermVolSurface could be renamed such that it can also hold
prices. Any pointers on how to implement this in a way such that it can
become part of the library would be appreciated.
Thank You
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