I once used a volatility interpolator wherein the user supplied a starting overnight vol (implied vol for expiration next day), an ending overnight vol (say, 1 year from now) a 'speed' and a 'slope'. It also featured weightings for additional expected variance (say a scheduled economic data release) set manually. The results were very satisfactory in backing out a fit from a market vol curve, and using those parameters from then on. I've not been able to find such a model with the precisely same names, just close approximations. Could anyone guess what speed and slope referred to? Thank you!
Speed/Slope Vol Model
- Thread starter adelano
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