Cap Volatility Data
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24.09.2021
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
In cap market, a cap/floor is quoted by implied volatilities but not prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility of a cap as a function of strike and maturity.
Further information
Further reading
https://timxiao1203.github.io/IrCapVol-7.pdf
Language
English
DOI
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