Rates vol: How does vega change with different tails of the underlying?
I know that two swaptions with the same tail tenor but different expiries will have different vegas, e.g. 10y10 vega >> 3m10y vega, but what about when comparing left vs. right in the swaption grid? E.g. What determines whether 1y10y vega > 1y2y vega?
Consider just the annuity factor i.e the pv01 as you go left to right.
ATM Vega propto PV01 * sqrt(expiry/2pi)
Read Hagan if you haven’t already
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