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2 votes

Forward Rate Volatility Calculation - Caps

What you are asking for is called volatility stripping. A cap is a series of consecutive caplets which are call options on forward rates. Caplets are not traded individually on the market so there are ...
Hasek's user avatar
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2 votes

Implied Distributions from forward prices

You are right: the forward has no information about the future (market inferred) price distribution. In fact, under the risk-free measure, it is just the undiscounted expectation of the price, taking ...
KT8's user avatar
  • 855
1 vote

Convenience yield intuition on consumption assets?

You mention Cost of Carry and Convenience Yield as if they are similar. Actually Cost of Carry and Convenience Yield work in opposite directions. CoC makes the holding of a physical commodity less ...
nbbo2's user avatar
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