Questions tagged [fxo]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
0 answers
57 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?
user avatar
5 votes
1 answer
150 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,...
user avatar
0 votes
1 answer
80 views

FX quoting convention

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?
user avatar
  • 507
1 vote
0 answers
73 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 ...
user avatar