June 17th, 2013, 6:30 am
Did you use the method including basis to achieve high vol , or is there a big difference between single curve and multi-curve ?I don't quite understand the technique of multi-curve,could you give me some instructions about it, particularly how(ideas,calculations) to get OIS vol from forward vol ?Another detail,how do you get the first six 1M vol,do you assume they are the same as the sixth 1M vol? but i think maybe they should be higher...