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Thus, for any given path, the root-mean squared volatility for inst will simply be equal to (Ti) times the root-mean squared volatility for inst. Given the approximate, but highly accurate, linearity, the price implied by the Monte Carlo simulation will also be multiplied by the same scaling factor, thus ensuring correct pricing for each at-the-money caplet.27 The numerical implementation is quite ef cient as only one simulation is used to price all the caplets. For a given volatility path, all strikes are calculated, and different stopping times along a path are used for different maturities. European swaptions can also be quickly numerically priced in a similar manner to caplets using the displaced diffusion LIBOR model. Denote the instantaneous volatility of the kth swaption when the displacement of the diffusion has a value of by S(k)(t). Let n(k) denote the number of forward rates underlying the kth swap and let Sk be the kth swap rate. 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