Questions tagged [caplet]
The caplet tag has no usage guidance.
11 questions with no upvoted or accepted answers
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
0
answers
298
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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
3
votes
0
answers
144
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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 ...
- 71
2
votes
0
answers
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
2
votes
0
answers
65
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Relation (approximate??) between Swap rate and Cap strike
I just have come across some relation between Interest rate swap and strike of Cap as below
$K_{Cap Strike} = \frac{1}{1 + r \...
- 403
1
vote
0
answers
120
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Which Model Should I Use for Pricing USD Interest Rate Caps (7, 10, 30 year maturities) on 1Month Rates?
I am trying to price USD interest rate caps on 1M rates (e.g., LIBOR, SOFR, etc.).
The caps are designed to limit the exposure on non-callable USD Pay Float / Receive fixed positions in interest rate ...
- 11
0
votes
0
answers
16
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How ql.optionlet calculates the atm forward, I calculate it manually but I got a different result
**
for example,
2024-06-03 df = 0.977351
2024-09-03 df = 0.966416
And we use the most ez way to calculate it
like this use daycounter act360 manual_atm_forward = (df_start / df_end) ** (1 / t) - 1 = (...
0
votes
0
answers
44
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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
0
votes
0
answers
513
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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
0
votes
0
answers
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
0
votes
0
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83
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Where to find Caps/Floor historical data?
I'm trying to calibrate the Lognormal Forward Libor Model to market data, in order to calculate market implied volatilities. However, I'm having some troubles finding any Cap/Floor historic price. Not ...
