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Results tagged with bootstrapping
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user 1132
Bootstrapping is primarily a method for constructing a (zero-coupon) fixed-income yield curve from the prices of a set of coupon-bearing products, e.g. deposits, forwards/futures, bonds, swaps etc. The term convers also any recursive procedure of the same kind, for instance default probability curve bootstrapping, caplet volatility bootstrapping.
2
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Accepted
QuantLibXL - Optionlet bootstrapping failure
Answering my own question:
All the indicated numbers as obtained from ICAP need to be divided by 100, as they are percentages
The OptionletStripper1 takes an IborIndex, which should have a tenor equ …
- 231
2
votes
1
answer
602
views
QuantLibXL - Optionlet bootstrapping failure
I am trying to bootstrap the Optionlet volatility surface from a Cap/Floor volatility surface using QuantLibXL. To be specific, the data is from ICAP:
STK ATM 0 0.25 0.5 [...]
1Y 0.31 77.9 …
- 231