I don't think this has been asked before, but are the tenors on a volatility surface out of spot date for the currency pair or out of value T+0?
$\begingroup$
$\endgroup$
Add a comment
|
$\begingroup$
$\endgroup$
See https://en.wikipedia.org/wiki/Foreign_exchange_date_conventions for details. In summary expiry = T+tenor for weekly tenors and expiry = ((T+2)+tenor)-2 for monthly and yearly tenors, with all the appropriate business day adjustments.
answered Feb 27 '19 at 17:30
