assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"? I am confused with the notion of time.


Its 2months and 3 months, respectively, adjusted for banking holidays that may fall on the sought after day and the local convention of whether you then move to the next or previous business day.

  • $\begingroup$ so, my second calculation, right (count the business days/daycount basis)? $\endgroup$ – 4pie0 Mar 3 '13 at 16:03
  • $\begingroup$ generally yes. Its much more precise $\endgroup$ – Matthias Wolf Mar 3 '13 at 16:07
  • $\begingroup$ ok, but for 1y (and only) thankfully it will be still just 1? and regardless convension $\endgroup$ – 4pie0 Mar 3 '13 at 16:21
  • $\begingroup$ No for any tenor you should optimally derive the precise expiration date using local market conventions. $\endgroup$ – Matthias Wolf Mar 3 '13 at 16:36
  • $\begingroup$ so what means 1y? if this is "business days in 1y"/"daycount" so i.e. 252/365 ? $\endgroup$ – 4pie0 Mar 3 '13 at 17:29

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.