What are volatility curves for swaps?
do you mean swaps or swaptions? if your talking about swaptions, then the volatility curve is an input assumption for a black-scholes model to price a call swaption.
I am talking about swaps
Volatility swaps? Swap curve?
dersawp07, Would you please advise the detail of your question ? Where is it from ?
you mean, the swap curve relative to the forward curve? i.e. swap curve is flatter (less convex) because of convexity bias… anyway this is an optional reading, probably not tested. Otherwise, no idea what you’re talking about.
Just a q poped in my mind- not exam related .
Vol surface is used for swaption pricing, not swaps.
THanks, I thought so.