Published July 2, 2020
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Swaption Implied Volatility
Description
Implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. An swaption volatility surface is a four-dimensional cube: implied volatility as a function of moneyness and expiry and tenor.
Notes
https://ia801404.us.archive.org/26/items/ir-swn-vol-6/IrSwnVol-6.pdf
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Zenodo-IrSwnVol.pdf
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