1
vote
0answers
268 views

European Swaptions: does implied volatility of swap rates decreases both with start and tenor?

Does implied volatility of swap rates decreases both with start and tenor? Given a Swaption price and a discount curve I calculate the swap_rate from the curve, then I define implied volatility as ...
4
votes
0answers
283 views

compute time from FX forward, how use DEPO rates?

assume I have following delta-term vol data from broker: ...