This fantastic video shows silkworm being raised over a 4 month period.  The author of the video bought the silkworm eggs on the internet and filmed them all the way from the egg, larvae, moth and back to egg again.

The video shows a fascinating insight into the life cycle of the silkworm, filmed in documentary quality. 

I never really though about whether there was a true cocoon inside the silk cocoon, but the video shows the pupae inside a cut half of the cocoon.