how to estimate the market implied zero coupon volatility

Posted by Ferdinando M. Ametrano-3 on Oct 09, 2003; 10:51am
URL: http://quantlib.414.s1.nabble.com/how-to-estimate-the-market-implied-zero-coupon-volatility-tp2710.html

I need to evaluate the volatility of a zero coupon (price or yield, or
discount factor... as you prefer).

I know I can perform historical analysis of the yield yield term structure
curve, but I would also like to estimate some kind of market implied
volatility.

I know that zero coupon volatility is not directly priced by the market (no
zero-coupon swaptions), but even a raw implied (non-historical)estimation
would be enough for me.

Any suggestion?

thank you

ciao -- Nando