LT Delta Def


Key LT Delta Def in
Fx Vol Spec refers to a choice from the list Delta Def
The entry here is optional and supplies the Delta definition that applies on the
RR vol quotes and BF vol quotes specified in the columns #RR and #BF respectively, of the table supplied through the key Vol Set, but only if their associated option expiry T satisfies T >= Tˢʷⁱᵗᶜʰ, where the switch time Tˢʷⁱᵗᶜʰ is specified through the keys Switch Tenor and Switch Date
If missing, the default equals the entry in
ATM Def