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Recommended Volatility Estimates

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PrecisionLender allows you to enter Volatility Estimates to capture the impact of Interest Rate Caps and Interest Rate Floors on your opportunities. Clients should feel free to develop their own volatility estimates using appropriate methods, but the following default volatility curve is provided to our clients who would like to use volatility estimates but are uncertain how to develop them. This information will typically be available once per month, on the second Tuesday of each month. If you would like to be notified via email when this information is updated, click here to follow the page. 

   

  Option Adjusted Black 76
Maturity Absolute Relative Absolute Relative
12 0% 22% 0% 40%
24 0% 18% 0% 13%
36 0% 32% 0% 24%
48 0% 32% 0% 23%
60 0% 40% 0% 21%
For All 0% 30% 0% 16%

 

Date last updated: 12/03/18

 

For more information, see Setting Up Volatility Estimates.

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