Recent content by Paul Bird

  1. Cms volatility

    I need to price some Cms linked bond note (e.g. a note that pays the 10y-2y with a 2% floor) . for the pricing of the floor option I use the Black formula, but I need the volatility of the underlying (so the volatility of the 10y-2y cms). How can I estimate it? Is it possible to use an implied...
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