I have two brokers who give me delta strategies for USD-COP, but one of them gives me the issue with forward delta, the another one is premium adjusted. Besides, how can I mix them for construct a volatility surface in deltas and strikes?
$\begingroup$
$\endgroup$
2
-
$\begingroup$ Are these for the same maturity ? If yes why not build two separate smiles and see if they are close to each other ? $\endgroup$ – Antoine Conze May 22 '18 at 14:32
-
$\begingroup$ Yes, same maturity. but i need to publish just one smile that combine both inputs $\endgroup$ – juan felipe Jun 6 '18 at 13:35
Add a comment
|
