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swap vegas in BGM
I am following the way of Pietersz and Pelsser[2003] to calculate co-terminal swap vegas...however in their paper instantaneous correlation of fwd rates are not considered... If instantaneous correlation are not equivalent to 1, the instantaneous vols of swaption are not the linear function of instantaneous vols of fwd rates, and their approach fails...anyone knows alternative approachs to calculate swap vega (sensitivities to implied swaption vols)...thx in advanced!