User contributions for 3316950
From Fintech Lab Wiki
21 April 2026
- 13:5113:51, 21 April 2026 diff hist +917 N File:Applying Breeden-Litzenberger to swaption prices.pdf This project applies the logic of Breeden-Litzenberger to extract conditional densities from swaption prices around important FOMC decisions. The data was extracted from Bloomberg, and contains the normal implied volatilites of +-200bps ATM for 3 month - current
