Tous les livres

Professionnel

Applis À propos Coach Connexion Commencer la lecture

Quantitative Finance · Glossaire

Qu'est-ce que « Flat volatility, caplet volatility » ?

Aussi appelé : flat volatility · caplet volatility

Definition 4.4 Rates, Credit, XVA and Risk · Chapitre 4 — Vanilla Rates Options

The flat volatility of a cap is the single volatility at which the sum of its caplets’ prices equals the cap’s price. A caplet volatility is the volatility of one caplet, a function of its fixing date (and strike); the caplet volatilities of all caps of one strike form a single term structure.

Lire dans le chapitre →