I am trying to compute the Black Volatility of a currency swaption and I am required to draw up a correlation matrix for the forward exchange rates. Could someone guide me as to how I can either get it from somewhere or calculate the matrix in EXCEL. Any help is appreciated. I referred to Brigo and has given a formula for approximating the Black Vol with correlation coefficients of forward exchange rates of different maturities. But he has not specified how he gets the $\rho_{ij}$. Can someone please help. Thanks in advance


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