PrecisionLender Volatility Estimates

PrecisionLender allows you to enter Volatility Estimates to capture the impact of Interest Rate Caps and Interest Rate Floors on your opportunities.

Clients should develop their own Volatility Estimates. However, for convenience we also publish a set of Volatility Estimates, which are updated monthly. If you would like to be notified via email when this information is updated, please let us know at support@precisionlender.com. 

   

  Option Adjusted Black 76
Maturity Absolute Relative Absolute Relative
12 0% 40% 0% 80%
24 0% 40% 0% 50%
36 0% 80% 0% 55%
48 0% 80% 0% 50%
60 0% 80% 0% 50%
For All 0% 50% 0% 30%

 

 

For more information, see Setting Up Volatility Estimates.