Question: Describe how you would (a) calculate cap flat volatilities from cap spot volatilities and (b) calculate cap spot volatilities from cap flat volatilities.

Describe how you would (a) calculate cap flat volatilities from cap spot volatilities and (b) calculate cap spot volatilities from cap flat volatilities.

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a To calculate flat volatilities from spot volatilities we choose a strike rate and use ... View full answer

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Describe how you would (a) calculate cap flat volatilities from cap spot volatilities and (b) calculate cap spot volatilities from cap flat volatilities. AppendixLO1

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