Hello,
I have a doubt, hopefully you can help me. I'm pricing a 3MLibor CAP using Black model with Matlab software. I have the ZERO 3MLibor Swap Curve but i'm not sure if it's right to use this curve as an input for matlab because Matlab uses it to generate future forward rates and i think that a Swap Curve already inform about market expectations over the Libor curve. Maybe what i have to do is pricing the CAP in excel using the Swap curve directly as forward rates in Black model.¿Which curve it is rigth to use in this case?
Thanks for your answers.
Diego.