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Let’s assume 1y vol is at 10.0% and there is no skew and the term structure is flat. Let’s assume there are 252 fixings and the annualisation factor is 252.

1) In a BS world, is it correct to say that the fair vol is then 10%?

2) If the number of fixings is actually 260 i/o 252, then the fair vol is lower: what’s the intuition behind it and would you have an elegant mathematical way to prove it?

Thank you everyone in advance.

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