Function strip_overnight_caplet_vols 

pub fn strip_overnight_caplet_vols(
    index: &OvernightIndex,
    effective: NaiveDate,
    frequency: Period,
    quotes: &[CapQuote],
    strike: Option<f64>,
    scheme: StripScheme,
    convention: VolConvention,
    market: &MarketContext,
    tolerance: Tolerance,
) -> Result<RateVolSurface, PricingError>

Caplet vols from term cap quotes on an overnight index at frequency: the ladder strip_caplet_vols strips, over caps whose coupons compound the index’s daily prints.

No first-caplet exclusion: an overnight cap’s first coupon is not fixed at trade, it accrues from the effective date, so the market’s cap carries it.

Errors

As strip_caplet_vols.