August 24th, 2004, 8:37 am
Hi,this is an old post, but I'll try to write some more. As far I can see, as someone has stated BP VoL=strike*Yield Vol (quoted on the broker page,i.e. ATM strike).If you want to calculate the BP Vol for an OTM strike, what you can do is one of the following: 1. otmBPVOL= strike*otmYield Vol2. otmBPVOL= sqrt(strike*ATMstrike)*otmYield Vol.I'm used to use the second version, but it's a kind of convention in my firm: maybe you have your comment!Regards!