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assume I have following delta-term vol data from broker:

Spot 3.4550
                 O/N      1WK      2WK      3WK      1M       6WK      2M
Volatility       7.544    7.7      7.731    7.911    8.025    8.18     8.4
Forward Points   0.0004   0.0021   0.0045   0.0063   0.0079   0.0106   0.0164
EUR Depo Rate    0.405    1.205    1.145    1.128    1.1      1.11     1.13
PLN Depo Rate    4.216    5.028    4.586    4.187    3.558    3.58     3.626
Butterfly        0.157    0.19     0.229    0.268    0.34     0.368    0.44
RiskReversal     0.35     0.45     0.567    0.683    0.9      0.983    1.2

is this for sure that $f=S+Forward Points$ so

$f_{ON}=3.4550+ 0.0004=3.4554$

$f_{1M}=3.4550+ 0.0079=3.4629$

and so on, regardless delta quoting convensions and ATM convensions

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  • $\begingroup$ I have no idea what you're asking. Are you just asking the quoting convention of forward points? $\endgroup$
    – jeff m
    Mar 4, 2013 at 14:40
  • $\begingroup$ do you have any idea about delta quoting convension for FX options? I am asking about the computation of forward price, if the formula is true regardless of delta quoting convension, so I can compute it as described without any Depo Rate manipulation $\endgroup$
    – 4pie0
    Mar 4, 2013 at 14:42

1 Answer 1

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If you're asking what the FX Outright for 1M EUR/PLN is, given that table, then yes the answer is just outright = spot + fwd points, which is 3.4550 + 0.0079 = 3.4629 (you had the wrong column for your 1M value).

Usually fwd points are quoted directly (i.e. not as an outright), using a divisor set by market convention. I expect EUR/PLN divisor to be 10,000, so that would be quoted as 79 pts.

So no, you don't need any of the rest of the data in the table.

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  • $\begingroup$ thank you very much. I need rest data to construct full vol surface $\endgroup$
    – 4pie0
    Mar 4, 2013 at 20:31
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    $\begingroup$ To know what divisor you need to use, the easiest is to look at the # of digits in the FX spot on Reuters, the pips will be added to the same precision. $\endgroup$
    – BlueTrin
    Mar 12, 2013 at 15:26
  • $\begingroup$ @BlueTrin could you give some example? $\endgroup$
    – 4pie0
    Mar 14, 2013 at 20:35
  • $\begingroup$ @cf16: literally go on Reuters, or on their webpage, if you do not have Reuters EIKON. Look at EURUSD, you will see a quote like 1.3060. This means that the pips have to be divided by 10000 because (by convention) they are added to the last digits of the FX quote ... $\endgroup$
    – BlueTrin
    Mar 15, 2013 at 14:46

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