A bridge between mortgage TBA options and swaptions
Interest Rates
In the interest rate derivatives markets, options are usually quoted in Black volatilities. However, Black volatilities are measured differently for different instruments. For example, they are measured by the lognormal yield1 volatility in swaptions but by the lognormal price volatility in mortgage to-be-announced (TBA) options, which are bond options. Many dealers also quote swaptions in basis-point (BP) volatility, which is derived under the assumption that swap rates are normally distributed
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Interest rate derivatives
Regulation
FTX failure resets US crypto legislative programme
Lawmakers expected to seek stronger customer protection; industry wants flexibility for DeFi
Receive this by email