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Quantitative Finance · Begrippenlijst

Wat is Flat volatility, caplet volatility?

Ook bekend als: flat volatility · caplet volatility

Definition 4.4 Rates, Credit, XVA and Risk · Hoofdstuk 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.

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