New answers tagged

2

Bloomberg swpm doesn't fit caps vol. It's quite complicated what is done by BBG and they offer a lengthy white paper, on HELP VCUB - "Documents" called the "Bloomberg Volatility Cube". Cap stripping is explained from P.9 onwards. In general, the cap vol shown in swpm is NOT a SABR fitted vol. The caplets are from VCUB (and actually ...


1

The procedure you have specified in your last paragraph is the only reasonable way to do it. Clearly the cap volatility is some sort of weighted average of the constituent caplet volatilities, but the weighting is complex , having strike dependence as well as maturity dependence.


Top 50 recent answers are included