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In a LMM+ with displacement factor a volatility anchoring technique is used, i.e. a long term volatility assumptions is applied, derived from historic time series. Should I adjust this historic volatility (e.g. 10%) when using Black or the normal implied volatilities?

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  • $\begingroup$ Your question is not clear. More background information or a reference may be helpful for understanding your question. $\endgroup$ – Gordon May 27 '16 at 13:05

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