All Questions
Tagged with caplet interest-rates
7 questions
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Validate spread of simulated rates under the LMM
Looking for a way to validate the spread of simulated forward rates from the LMM model. Test Log-Normality for LIBOR forward rates under the Libor Market Model this post suggests using the simulated ...
- 1
2
votes
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91
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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 ...
- 568
7
votes
1
answer
793
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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
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 ...
- 585
1
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1
answer
301
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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
0
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156
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Where can (current) interest rate cap prices be found?
I'm somewhat new to interest rate models and am interested in obtaining ATM cap prices and volatilities for calibration purposes (Black-Derman-Toy, Hull-White, etc.). Ideally, this would enable me to ...
- 11
6
votes
2
answers
1k
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Caplet "in arrears" pricing formula
The forward Libor rate $L(t,t_1,t_2)$, with $0 \leq t \leq t_1$, must be a martingale under the T-forward measure associated with the zero coupon bond $P(t,t_2)$ that matures at time $t_2$.
Pricing a ...
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