Hi Pat,I was searching of your post of conversion formulae. But i had no luck with it. Can you please send it aravindkumar.ms@gmail.com ? Or you can post the link to SABR thread.tksaravind

Pat, would you mind also sending me a copy? (address in profile, or gerdUNDERSCOREzeibigATyahooDOTcom) Thank you very much!

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I would be more than happy if anyone would post this article on conversion formulas to the forum or send it to me via e-mail! Thanks a lot!

QuoteOriginally posted by: Finance123456I would be more than happy if anyone would post this article on conversion formulas to the forum or send it to me via e-mail! Thanks a lot!Managing Smile Risk formula B.64

Hi everyone,Have been reading though the posts, and have a related question regarding the MOVE Index constructed by Merrill Lynch, it is a yield curve weighted index of the normalized implied volatility on 1-month Treasury options. It is the weighted average of volatilities on the CT2, CT5, CT10, and CT30, weighted in the following manner: 20% 2-Yr, 20% 5-Yr, 40% 10-Yr and 20% 30-Yr. I was just wondering if anyone know about the index and what does it mean by normalized implied yield volatility? Is normalized implied yield volatility = yield volatility*yield? Since pricing a treasury option by using the Black model requires the price volatility, one needs to convert this yield iv into a price iv. According to John Hull's textbook: price vol = duration of underlying asset*yield*yield vol. So this would imply price vol = duration*normalized yield vol. Would this interpretation be right? Any help would be greatly appreciated.

Yes, sounds about right... There are some tricky bits arnd the calculation of MOVE, but I think it's broadly correct.

Thanks Martinghoul!

hii am using this formula to calculate CEV vol for ATM swaptions. sigma cev = sigma normal / (ATMF rate ^ beta)for a 50bps OTM swaption, should one change the fwd rate by 50bps i.e. should the formula now read sigma cev = sigma normal / ((ATMF+0.50) ^ beta)thanks. your inputs are much appreciated