[Quantlib-users] Missing sabr interpolation for capfloor vols in both QuantLib and ORE

[Ioannis R. <qua...@de...>]

Does anybody know why sabr interpolation of capfloor volatilities seems 
to be unsupported in both quantlib and ore although it is apparently 
common practice in the industry?

More specifically, in strippedoptionletadapter.cpp there is a commented 
out code segment starting with "strikeInterpolations_[i] = 
ext::shared_ptr<SABRInterpolation>(...)".

Does anybody know why this segment has been commented out?


-- 
This email has been checked for viruses by Avast antivirus software.
www.avast.com