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caplet volatility from bloomberg
Hi All,I am trying to calibrate HW 1F model. In my firm, someone has already calibrated it using old caplet volatilities. But i really doubt if we directly get caplet volatilities from bloomberg. I know thta using <VCUB> we can get volatility cube, but it given me cap volatilities. My questions is can we really get caplet volatilities frm bloomberg...
caplet volatility from bloomberg
the vcub in bloomberg gives you the swaptions vol surface, not the cap/caplet vols, AFAIKtypically for the currencies that I have seen, you usually do not get caplet vols directly, you get cap/floor vols instead. You can "strip" this vols to generate caplet volatilites
caplet volatility from bloomberg
QuoteOriginally posted by: prodiptagthe vcub in bloomberg gives you the swaptions vol surface, not the cap/caplet vols, AFAIKtypically for the currencies that I have seen, you usually do not get caplet vols directly, you get cap/floor vols instead. You can "strip" this vols to generate caplet volatilitesMy understanding, based on Pat's paper "Interest Rate Volatility Cube: Construction and use" is that the volatility cube in Bloomberg on one edge includes caplet vols, but I may be wrong.
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- recepyakar
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caplet volatility from bloomberg
i met this thread on my way and as it is quite stale i wud say that bloomberg serves the caplet vol matrix on "VCUB <GO>". but not all ccys have a proper data set there, some of them are corrupt such as turkish lira vols.R