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Scalper
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Posts: 1
Joined: August 24th, 2002, 3:10 pm

Market standard for Caps and Swaption Premiums EUR and USD

October 10th, 2019, 11:48 pm

I’m curious to hear your view on what is the most common way a trader nowadays defines the Cap and Swaption Surfaces when pricing a Vanilla Cap or Vanilla European Swaption to a client. The assumption is that the Premium is paid by the client ‘today’ (spot=2d) – and the trade is cleared and based on OIS discounting.
 
For EUR Caps/Swaptions – for example
- Shifted Log Normal Volatility with Displacement factor
- Normalized Vol (BP-Vol)

- Fwd Premium Cap or Swaption Straddle prices
- Spot Premium Cap or Swaption Straddle prices
- Fwd Starting Cap Prices
- SABR
- more…???
 
For USD Caps/Swaptions – for example:
- LogNormal Vol
- Fwd Premium Cap or Swaption Straddle prices
- Spot Premium Cap or Swaption Straddle prices
- Fwd Starting Cap Prices
- SABR
- more…???

 
Thanks,
/Scalper