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Questions tagged [cap]

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4 votes
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IR Cap Forward Premium

A well known broker quotes cap/floors as spot premium for ATM straddles but forward premium for the skew, given that the difference between spot premium and forward premium is that the option is not ...
BrownianBread's user avatar
3 votes
0 answers
110 views

Which expiry interpolation method for caplet/floorlet surfaces?

I want to bootstrap an (implied volatility) caplet/floorlet surface from quoted cap/floor volatilities on a fixed strike grid. I'm thinking about either using a left-continuous or a linear ...
BerndSchmitz's user avatar
2 votes
0 answers
80 views

ATM cap prices in Vasicek model (Filipovic)

I am trying to replicate the ATM cap prices in table 7.1 (see bottom of this post) from Filipovic's book "Term Structure Models - A Graduate Course" which assume the Vasicek model and uses ...
Landscape's user avatar
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1 vote
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477 views

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 ...
Scpsc98's user avatar
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0 votes
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55 views

cap/floor valuation in a hypothetical scenario using monte carlo simulation

How can I do a cap/floor valuation in a hypothetical scenario using monte carlo simulations of some interest rate model? My conditions: (For example) I want to do valuation of a cap option under a ...
Jan Bas's user avatar
0 votes
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411 views

How to price an inflation caplet/floorlet using Bachelier Formula?

I am trying to recalculate the prices of inflation cap in order to calibrate a SABR model. I have this table which gives me the normal volatilities values in % for the different strikes and different ...
EOST's user avatar
  • 21
0 votes
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158 views

LIBOR-in-arrears swap

Let's say we have a situation where all 12-month LIBOR forward rates at 8% per annum with annual compounding. All cap volatilities are 16%. Estimates the difference between the way a sophisticated ...
doudoune's user avatar
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131 views

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 ...
Oscar's user avatar
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