I would like to model OTM Swaptions. I can use some implementation of the Bachelier model (not B76 due to negative rates) and implied volatilities from Bloomberg.
For 10Y X 10Y (10 years option maturity, 10 years swap length) and 100 bps OTM I get something like 100% volatility pa for the EUR.
I would like to make this number plausible. Does it make sense to use a delta normal method here? Thus apply $$ \sigma \approx \Delta \times \text{vola(rate}) \times f $$ where $f$ should be some leverage factor. Which rate would I use? What if I look at duration and put $$ \sigma \approx D \times \text{vola(rate}), $$ again which rate?
Are there comparable numbers on the web or in Bloomberg? I can not estimate the volatility of swaptions in PORT, right?
