I've been having a difficult time finding more information on mapping interest rate volatilities across compounding frequencies, and was wondering if anyone here knows of literature that discusses this very issue. My main goal is to learn how to solve the more general case of mapping an interest rate term structure (including volatilities) across arbitrary compounding frequencies (freq = 1, 2, 3, 4, 6, 12, 365, and continuous). That is, given interest rates and volatilities compounded at a given frequency, map it to any other compounding frequency. The solution for the interest rates side of the problem is very easy, but I have found that the volatility side of the problem is not only difficult, but rarely discussed.Anyone?Thanks a bunch-LB

I still find this a very difficult problem, so I'm waiting with impatience to read other replies by people more competent than me....For the time being, my two cents...From my experience, I don't think that there is a unique solution, since the way volatilities change for the same class of instrument with different frequencies, depends not only on the maths, but also on market dynamics. There are often liquidity issues that move the prices of some instruments with similar characteristics but different frequencies, as well as correlations between different markets.Often people tend to compare (at least for ATMs) BPVols. So if for example you have the volatility for a 2y ATM cap vs 3m, someone would suggest to compute the BPVol for that atm cap and then assume that the atm bpvol for a 2y atm cap vs 6m is the same. You invert the formula, and you get a different Black vol for the 3m and 6m... But then you would probably add some kind of spread on top, depending on your market.gc