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3 questions
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Pricing formula for a FX forward with delayed payment
A typical FX forward trade would settle the foreign currency 2 days after the fixing of the FX rate. The forward leg of this trade would be priced by discounting in the domestic currency the value of ...
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FX options: is convexity usually heavily overpriced?
I have access to daily vol quotes for EURUSD options from 2006 to today. I was playing around with them and constructed a "daily rolled backtest" for various options constructs, like ...
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Why isn't a quanto adjustment needed in this case?
Suppose we have a contract with payoff $P_Y$ in currency $Y$, where $P_Y$ on a variable in currency $Y$.
To calculate the value in $X$, we take the expected payout under $Y$-numeraire $E_Y(P_Y)$, ...
