0
$\begingroup$

When we want to construct Interest rate term structure we look at various market instruments like futures, swaps etc. and using those quotes we use bootstrap method to construct term structure.

Now let say I want to create Volatility term structure for LIBOR using various caplet quotes. Could you please help me to find way how to use Caplets to build Volatility term structure for LIBOR?

Any pointer, online reference will be very helpful.

Thanks,

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.