Fx Vol Spec


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