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cap volatility interpolation
Posted: December 11th, 2012, 6:03 am
by gatty
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
cap volatility interpolation
Posted: December 24th, 2012, 2:59 pm
by japanstar
I've not experience with BB interpolation but I was wondering if you've tried to use SABR to fit the whole surface.
cap volatility interpolation
Posted: December 28th, 2012, 7:53 am
by pimpel
try searching for Patrick Hagan's working paper related to volatility cube. There should be detailed algorithm used by BBG.