July 17th, 2011, 1:15 am
lf one has standard maturity ATM vols (i.e. 1m, 2m, 3m, 6m and 1y) which model do one use to determine ATM vols between those maturities? ls cubic spline interpolation method most appropriate in this case ?
Last edited by
pankajchitlangia on July 16th, 2011, 10:00 pm, edited 1 time in total.