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Bootstrapping yield curve with forward rates using QuantLib

I'm attempting to calculate a GBP yield curve using a USD OIS rate curve and the FX Forward rates using Quantlib. I am trying to replicate the output of a different library, and am close but can't ...
user7631642's user avatar
3 votes
0 answers
173 views

FRTB - SA Curvature cross gamma with FX options

Under the FRTB we do an downwards and upwards shocks reating to the each of the risk factors. FX risk is also calculated as the change in respect to the reporting currency to each of legs of the trade....
Ben Watson's user avatar
0 votes
0 answers
95 views

how to derive overnight FX implied vol and how to translate into implied breakeven

is there a good link or explanation how to get a specific day (next month's 1st trading day, etc) overnight implied vol? (pls guide where should i start with?) and let say USDJPY (say forward ref is ...
GChan's user avatar
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0 votes
0 answers
226 views

FX Risk Reversal - RHS/LHS - Strike adjustments

I was wondering why ppl use the wordings being „rhs/LHS“ right hand side / left hand side when having an risk reversal for example Long EUR Call / USD Put and Short EUR Put / USD Call. Do they refer ...
Mostdoisneverdone's user avatar
0 votes
0 answers
123 views

How do you identify nondeliverable swap

what is unique about NDS transactions, how can I identify them using certain parameters or attributes specific to NDS?
user8371676's user avatar
5 votes
1 answer
269 views

FX Call under stochastic rates and deterministic volatility

Lets denote $S_t$, $r^d_t$,$r^f_t$ respectively the FX spot, the domestic rate and the foreign rate at time $t$. Lets $\mathbb{Q}^d$ , $\mathbb{Q}^f$ respectively be the domestic and foreign mesures,...
DeepInTheQF's user avatar
-1 votes
1 answer
151 views

FX quoting convention [closed]

I saw the quote as this: EUR/USD 1m ATM 0.3150/0.3190. I guess these are vol levels. What the units of these bid and offer quoted?
Ussu's user avatar
  • 585
1 vote
0 answers
100 views

Extreme AUDJPY FX vols

I'm seeing levels of -12% of market strangle vol at 25 delta for AUDJPY at 20Y onward that is causing havoc with my pricing routines, the 10 delta market strangle is trading around -6% which is again ...
BrownianBread's user avatar