cap volatility interpolation

gatty · December 11th, 2012, 6:03 am

Is there any body familiar with Bloomberg' cap vol interpolation methods? how to interp by expiry? I try vol^2 / vol / vol^2*T and vol*sqrt(T) , all are not equal to Bloomberg's result

japanstar · December 24th, 2012, 2:59 pm

I've not experience with BB interpolation but I was wondering if you've tried to use SABR to fit the whole surface.

pimpel · December 28th, 2012, 7:53 am

try searching for Patrick Hagan's working paper related to volatility cube. There should be detailed algorithm used by BBG.