I have two questions that prevent me from sleeping well... If someone could help me ..
1. I was wondering whether traders use the same smile model (parametrization) to price vanillas (EUR cash swaptions) and CMS. When they contribute to Totem at end of month, do they use the same parametrization to contribute the central smile (with the ZWC), wings and CMS .. ?
2. What is the standard to price vanillas in EUR currency (Cash Swations .. ?). Do people rely on a mapping and integrate the pay-off .. ? Or do people price them "a la Black" , for example, by using a cash annuity measure (and using somehow the corresponding forward cash swap)
Thank you very much in advance ... !!