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

[Peter C. <pca...@vo...>]

Hi Andreas,

when I try something like this


     boost::shared_ptr<YieldTermStructure> yts(new 
FlatForward(0,TARGET(),0.05,Actual365Fixed()));
     boost::shared_ptr<IborIndex> euribor6m(new 
Euribor(6*Months,Handle<YieldTermStructure>(yts)));
     std::vector<Period> optionTenors;
     optionTenors.push_back(1*Years);
     optionTenors.push_back(2*Years);
     optionTenors.push_back(3*Years);
     optionTenors.push_back(4*Years);
     optionTenors.push_back(5*Years);
     std::vector<Rate> strikes;
     strikes.push_back(0.03);
     strikes.push_back(0.04);
     strikes.push_back(0.05);
     strikes.push_back(0.06);
     strikes.push_back(0.07);
     Matrix flatVols(5,5,0.20);
     boost::shared_ptr<CapFloorTermVolSurface> caps(new 
CapFloorTermVolSurface(0,TARGET(),ModifiedFollowing,optionTenors,strikes,flatVols));
     boost::shared_ptr<OptionletStripper> stripper(new 
OptionletStripper1(caps,euribor6m));
     boost::shared_ptr<OptionletVolatilityStructure> caplets(new 
StrippedOptionletAdapter(stripper));
     for(int i=0;i<strikes.size();i++) {
         for(int j=0;j<10;j++) {
             std::cout << caplets->volatility(j*6*Months,strikes[i]) << " ";
         }
         std::cout << std::endl;
     }


I get


0.199999 0.2 0.2 0.2 0.2 0.20006 0.200001 0.2 0.200018 0.2
0.199999 0.199999 0.2 0.2 0.2 0.200091 0.200001 0.2 0.200025 0.2
0.2 0.2 0.2 0.2 0.2 0.199817 0.199998 0.2 0.199949 0.2
0.2 0.2 0.2 0.2 0.2 0.199881 0.199999 0.2 0.199965 0.2
0.2 0.2 0.2 0.2 0.2 0.199911 0.199999 0.2 0.199973 0.2


which looks reasonable. Is that of any help for you?

Regards
Peter


Am 04.05.2012 10:00, schrieb Andreas Spengler:
> 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
>
>
>
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