Questions tagged [cap]

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Greeks of caps,floors and swaptions

I will have an interview for a junior position as interest rates volatility trader. I would like ask you some questions about greeks of caps floors and swaptions. Are Caps vega positive? Are floors ...
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1answer
85 views

Delta and vega sensitivities for Cap

I have a task to do but it is very difficult.. I have to calculate the: Delta Sensitivity analytically, that is the first derivative of caplet price wrt the forward rate, using the black model to ...
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2answers
483 views

What are “greeks” in general for non-standard options (swaptions, capfloors, etc)

I know what greeks are for standard options: just take the derivative with respect to some parameter, like spot, time, rate, etc. But how does one calculate greeks for swaptions and capfloors? I was ...
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Is the implied volatility different for forward starting caps?

Suppose we know (from looking at an available volatility surface) the implied volatility (flat volatility) of a cap with a maturity of 10 years and strike of 1%. This would correspond to a cap that's ...
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1answer
80 views

What is the correct implied volatility to use when valuing an FRA option?

To my understanding the value of an FRA option is identical to that of a caplet of equal maturity, strike and tenor. A volatility surface of cap implied volatilities is generally available, and from ...