Implied Vol from Inflation-Indexed Caps/Floors

CQuant · August 7th, 2009, 6:19 am

Hello,how can I calculate the implied vol from index inflation option (caps, floor). For example BPISF23 (Bloomberg) - GBP Infl Swp Fl 2% 3Y. Premium in BP upfront: 209.5Now, how can I reach the implied Vol? Thanks a lot.RegardsEddy

Martinghoul · August 7th, 2009, 6:21 am

Use an option pricing model... You have all the info you need, i.e. spot, strike, option px, etc...

CQuant · August 10th, 2009, 6:23 am

Susanne Kruse: On the Pricing of Inflation-Indexed Caps, 2009provides an Black Scholes Model for inflation caps...Regards

palmachnick · August 31st, 2009, 11:59 pm

what is BPISF23 ? is it a cap/floor? is it traded on the exchange? or is it a contributed price?I am trying to find vols to use on a floor on the HICPxTobacco.Any help would be appreciated,ThanksMo