Questions tagged [fxo]
The fxo tag has no usage guidance.
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10D quotes for FX volatility smile calibration
When calibrating fx smile using SABR and Vanna Volga,
Are 10D-RR and 10D-BF used?
Or 25D and ATM quotes are used only?
If 10D is used, which currency pairs use 10D quotes?
If I use 10D quote for ...
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fx option atm and delta conventions for G10
I want to know about,
G10 + USDKRW, USDHKD
Fx option quote conventions
ATM convention(for short/long maturities)
Delta convention (unadjusted vs p.a. / spot delta vs forward delta)
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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 ...
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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....
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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 ...
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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 ...
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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?
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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,...
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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?
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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 ...
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