<t>Hi all,i'm currently handling a vol surface, contributed by a broker,strikes on one axis and maturity on the other.As i need to interpolate that surface, for any maturity and strikes i'm just wondering if someone wrote a VBA code to do that in an effective way.I'm currently using a loto of vlooku...

<t>Yep,Actually i found it myself with a little bit of thinking (and tweaking my spreadsheet): the correct ATM rate is actually the market rate for a swap with same dates as the cap (thus not spot, but frwd starting), with semiannual act/360 fixed leg (thinking about a 5yrs cap which is traded vs 6'...

<t>Hi, SORRY for the dumb question, but i'm building up a simple excel pricer, chcking it against a pro system.I have a zero curve, and a swap one, a roll convention (6 months), a cap start date (spot) and a cap end date (5y)..How can I determine the ATM for that cap? That's not the forward rate, be...