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All rights reserved. Implied Volatility of Caplets (Swaptions) ƒ Implied volatilities of the caplets (swaptions) can be derived by stripping (bootstrapping) method ƒ For example, if we know the implied volatilities for a 6-month cap and a 1-year cap, then we can derive the option prices of the caps using Black-76 option formula. Since the price of the 1year cap is equal to the sum of the prices of two 6-month caps, we can derived the price of the 6-month cap 6-month forward. Using the Black-76 formula, we can derive the implied volatility of the 6-month cap 6 –month forward.

All rights reserved. Implied Volatility of Caplets (Swaptions) ƒ Implied volatilities of the caplets (swaptions) can be derived by stripping (bootstrapping) method ƒ For example, if we know the implied volatilities for a 6-month cap and a 1-year cap, then we can derive the option prices of the caps using Black-76 option formula. Since the price of the 1year cap is equal to the sum of the prices of two 6-month caps, we can derived the price of the 6-month cap 6-month forward. Using the Black-76 formula, we can derive the implied volatility of the 6-month cap 6 –month forward.

P. All rights reserved. 5 In this Excel spreadsheet, we use three year’s daily data to estimate spread volatility. P. All rights reserved. P. All rights reserved. P. All rights reserved. P. All rights reserved. P. All rights reserved. g. g. P. All rights reserved. Implied Volatility of Caplets (Swaptions) ƒ Implied volatilities of the caplets (swaptions) can be derived by stripping (bootstrapping) method ƒ For example, if we know the implied volatilities for a 6-month cap and a 1-year cap, then we can derive the option prices of the caps using Black-76 option formula.

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