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by gatty
December 11th, 2012, 6:03 am
Forum: Technical Forum
Topic: cap volatility interpolation
Replies: 2
Views: 10649

cap volatility interpolation

Is there any body familiar with Bloomberg' cap vol interpolation methods? how to interp by expiry? I try vol^2 / vol / vol^2*T and vol*sqrt(T) , all are not equal to Bloomberg's result