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lennieye
A straightforward approach for valuing backward-looking cap floors, such as those based on SOFR, SONIA, etc., involves utilizing the accrual period's end date to derive volatility from the volatility surface....
In the inflation market, traders often use a so-called backward start inflation swap to build the front-end curve. For instance, BBG ticker BPSWIH8, covers an inflation index fixing period from...
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