Serving the Quantitative Finance Community

Search found 1 match

by ashd99
October 25th, 2013, 6:29 pm
Forum: Technical Forum
Topic: Normalized swaption volatility
Replies: 23
Views: 237137

Normalized swaption volatility

<t>hii am using this formula to calculate CEV vol for ATM swaptions. sigma cev = sigma normal / (ATMF rate ^ beta)for a 50bps OTM swaption, should one change the fwd rate by 50bps i.e. should the formula now read sigma cev = sigma normal / ((ATMF+0.50) ^ beta)thanks. your inputs are much appreciated...