[Quantlib-dev] Bootstrapping Caplet Volas from ATM Cap/Floor Volas

[Andreas S. <an...@sp...>]

Hi,

I am currently using QL in a project to price Structured Floaters; as part
of the incoming data I would like to use to parameterize the LFM we are
receiving (annualized) atm cap/floor volatilities...

I tried using OptionletStripper1/2 to get caplet volas from those;
however, OptionletStripper2 is not usable since it relies on
OptionletStripper1 which in turn needs a vol surface instead of a vol curve.

Anyhow, "faking" a vol surface by setting all values (in strike dimension)
to the atm vols returned only zeros upon calling
OptionletStripper1::optionletVolatilities()

Am I doing something fundementally wrong here and/or is there some other
class/method which I can use for the purpose?


Thanks for any help and best regards,

Andreas