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

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

Hi Peter,

I am asking you directly regarding my recent QuantLib inquiry below 
because I saw your name as being the last contributor to 
strippedoptionletadapter.cpp and I have not received any response yet.

Since you also are an expert in the ORE library, I would also like to 
ask you if that library supports the SABR calibration of capfloors.

Many thanks!

Ioannis

On 7/21/2023 9:25 PM, Ioannis Rigopoulos wrote:
> 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?
>
>

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