Questions tagged [cap]
The cap tag has no usage guidance.
13
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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 ...
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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 ...
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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 ...
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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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Quantlib - bond with capped coupons
Using QuantLib I want to price a Floating rate bond whose coupons are capped at some rate.
I understand I could price the coupon caps separately and then add that to a zero-bond.
However, I've noticed ...
- 109
1
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How to build a volatility surface for caps from the SABR model?
My end goal is to build a volatility surface for caps. It's well known that SABR model has Hagan approximation formulas for log-normal and normal implied volatilities of options, e.g. caplets, ...
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1
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474
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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 ...
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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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1
answer
554
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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 ...
- 11
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113
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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 ...
- 21
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125
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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 ...
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272
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Should one calibrate SABR model on caps or caplets?
I want to build a volatility surface for caps on a 3M index implied from SABR model. I have a set of cap normal volatilities for a range of strikes (4%, 6%, 8%, 10% and ATM) and maturities (1, 2, 3, 4 ...
- 744
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83
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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 ...
- 872