Timeline for Cocycle Condition for FX and SABR
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 13, 2021 at 12:49 | answer | added | Antoine Conze | timeline score: 2 | |
| Apr 10, 2021 at 20:21 | comment | added | exponantes | @noob2 thanks for your reply. Could you please expand on your intuition? It is clear to me that the cocycle condition must hold, what it is not clear is if SABR dynamics is "cocycle-closed", if you want... I do not see why also the third forward should follow a SABR dynamics (if it does, of which I am not sure) provided the first two do. | |
| Apr 10, 2021 at 17:17 | comment | added | nbbo2 | It seems to me the forward condition tying the three currencies together has to hold at each moment in time (due to no arbitrage) regardless of the dynamics. Tha last part I don't know. | |
| Apr 10, 2021 at 11:57 | review | First posts | |||
| Apr 10, 2021 at 13:55 | |||||
| Apr 10, 2021 at 11:47 | history | asked | exponantes | CC BY-SA 4.0 |