Timeline for Heston model on currency
Current License: CC BY-SA 4.0
10 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 9, 2020 at 7:13 | vote | accept | Bogaso | ||
| Sep 8, 2020 at 23:10 | comment | added | StackG | Screenshots added! | |
| Sep 8, 2020 at 12:48 | history | edited | StackG | CC BY-SA 4.0 |
Added BBG screens, as requested in comments
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| Sep 7, 2020 at 22:08 | comment | added | StackG | Request-For-Quote. Basically, asking a dealer to quote you! | |
| Sep 7, 2020 at 15:00 | comment | added | Bogaso | Thanks. Those screenshots will be really helpful. I am also curious to understand the underlying EURUSD rate's source for BBG. Btw, what is RFQ? | |
| Sep 7, 2020 at 14:54 | comment | added | StackG | These are indicative levels based on OTC quotes from brokers (mostly the big IBs), but you would need to RFQ them to get a firm tradable price if you wanted to trade (eg via BBG chat) - I'm away from the terminal today but I'll take some screenshots tomorrow. FX options do not trade on exchange. | |
| Sep 7, 2020 at 14:38 | comment | added | Bogaso | Thanks. What instrument code you apply to get the vol data from BBG? And what exactly is the underlying for these options? is it CBOE quote? | |
| Sep 7, 2020 at 13:34 | history | edited | StackG | CC BY-SA 4.0 |
Trimming answer, adding numpy import, adding back excessive trimming
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| Sep 7, 2020 at 13:26 | history | edited | StackG | CC BY-SA 4.0 |
Adding vol surface creation snippet
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| Sep 7, 2020 at 13:13 | history | answered | StackG | CC BY-SA 4.0 |