Published April 19, 2022 | Version v2
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Cap Implied Volatility

Creators

  • 1. RBC

Description

Cap consists of a portfolio of caplets. In market, a cap is quoted by implied volatilities rather than prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility as a function of strike and maturity.

Notes

https://ia601409.us.archive.org/4/items/ir-cap-vol-7/IrCapVol-7.pdf

Files

Zenodo-IrCapVol.pdf

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