0

I don't understand how Bloomberg quotes ATM swaptions, they just show the same volatility/premium and don't separate calls and puts. Are they the same? How does it tie to normal volatility? Thanks

OracleOdessa
  • 1
  • 1
    Also https://quant.stackexchange.com/a/71555/54838. Atm premium quoted is usually a straddle. Bloomberg has a help desk which would answer these type of questions swiftly (F1 F1). Or you look at the DES page of the ticker. – AKdemy Apr 13 '23 at 15:40
  • If the premium is quoted as straddle, is there a way to separate call and put prices? – OracleOdessa Apr 13 '23 at 16:04
  • 1
    Of course. Strike is ATM, which means you back out vol and compute call and put. The linked answer essentially explains this, as well as what normal vol or black vol is. – AKdemy Apr 13 '23 at 16:14

0 Answers0