I need to calculate a price of an autocap contract which is
An autocap is similar to a cap, but at most γ ≤ β caplets can be exercised, and they have to be automatically exercised when in the money
This product heavily depends on correlation between libor rates. Therefore to incorporate this information into model, I decided to use cascade calibration approach described in Brigo and Mercurio book "Interest rate modeling" - I want to calibrate LMM to swaptions. The problem is that as I understand, only volatility of 1Y swappoints can be derived from Bloomberg. So I'm able to calibrate only 1Y forward rates dynamics. Then I'd like to use some interpolation approach to get from 1Y forward rates to 3m forward rate.
Is it a good idea?