Fx Vol Spec


Fx Vol Spec is a direct subtype of FX Data
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with functions Fx Vol Spec Functions, keys Fx Vol Spec keys and example object FxVolSpec

TYPE INCLUSION RELATIONSHIPS

FX Data

Fx Vol Spec

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

ATM Def

Calendar

DayCount

Delta

Delta Def

LT ATM Def

LT Delta Def

Monotone Var

Smile Interp

Switch Date

Switch Tenor

VV Approx

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TYPICAL OBJECTS OF TYPE Fx Vol Spec

FxVolSpec

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This type represents specification parameters pertaining to fx option volatility data that conventionally consist of ATM vols, RR vol quotes and BF vol quotes for various expiries, where the strikes are represented indirectly through deltas rather than by values of the underlying fx rate.
The parameters here are used to express the supplied delta strikes to corresponding fx rate strikes and involve specialized ATM (At-The-Money) definitions listed in ATM Def and Delta definitions listed in Delta Def
Furthermore, the parameters include a method out of those listed in Smile Interp that is used to calculate the implied volatility corresponding to any arbitrary strike, relying only on a small set of available volatility quotes.