forward Libors vols

MaddoG · September 20th, 2005, 6:36 am

Hi All,Is there any connection between volatilities of n-mth forward LIBOR rate and n/2-mth ?? For example If you've got Caps with semi-annually payments quotation, how to price Caps with quarterly payments?? TIA,Konrad

cosmologist · September 20th, 2005, 8:27 am

If you know how to create a correlation matrix you can give yourself enough experience on an excel spreadsheet to make yourself comfortable. Creat a correlation matrix and do a PCA on it to find out more info about the importance of individual components with respect to the movement of the forward curve.more lead required..buzz me..assuming that I have understodd your question properly

kipi001 · September 20th, 2005, 3:29 pm

You could find the answer in Brigo Mercurio Book "Interest rates models"P255....If you want more details, please tell me...Regards,Kipi.