All Questions
3 questions
0
votes
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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 ...
- 11
1
vote
1
answer
103
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Cocycle Condition for FX and SABR
I was wondering whether SABR model (or some of its modifications) is actually used by practionarers.
Also, if one models the FX forward with SABR, would the cocycle condition be satisfied? That is, if ...
- 11
2
votes
1
answer
794
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SABR model: from calibration to mapping the smile/skew in a graph
Let's say that I have a calibrated SABR model in FX market (eg for Eurodollar options). So I have estimated values of beta, rho, alpha, and vol of vol. How do I map the calibration in a (strike, vol)-...
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