All Questions
2 questions
7
votes
1
answer
794
views
Caplet stripping in the bwd-looking RFR world with/without maturity adjustment
Since the beginning of this year, LIBOR rates have ceased in some markets like GBP, CHF, and JPY and rates pricing has moved into the RFR space, using compounded overnight rates as the underlying for ...
- 665
1
vote
1
answer
301
views
What is the correct volatility to use for inverting Black76?
I'm using VCUB on Bloomberg for ATM cap volatilities and have noticed there are a few "flavors" of volatilities. I would like simply use ATM flat vols to bootstrap forward volatilities from ...
- 11