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Results tagged with volatility-smile
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user 13457
8
votes
1
answer
794
views
Transforming 3M volatilities into 6M volatilities in EUR forecast curves
I have implemented a stripping algorithm to extract forward volatilities from cap/floor flat volatilities for different currencies. I am however struggling a bit when implementing a method to convert …
- 483
3
votes
1
answer
598
views
Volatility considerations with interest rate derivatives
I am a bit confused about the practical use of vol surfaces used for derivative pricing. We know that the two main products that best represent market volatility are caps and swaptions, from which vol …
- 483