Is a
Patent attributes
Patent Jurisdiction
Patent Number
Date of Patent
June 7, 2011
Patent Application Number
12774208
Date Filed
May 5, 2010
Patent Primary Examiner
Patent abstract
A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximate of volatility. The volatility curve is a convex shaped curve which more closely follows real market volatility than previous methods. The slope of the curve is provided by employing a premium model which allows for a correlation between rates and volatility. The convex shaped curve is arrived by assuming a lognormal distribution for the underlying volatility.
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