ATM


The column titled #ATM in the table associated with the key
FX Vol Set is mandatory and contains elements of type Number.
Each element represents the At-The-Money vol σᵃᵗᵐ for the option expiry T defined in the
#Expiry column.
The ATM condition can be defined in several ways according to the list
ATM Def and the applicable definition is specified in the entries ATM Def and LT ATM Def of the object of type Fx Vol Spec associated with the key FX Vol Spec

Regarding the maturities that do not appear in the
#Expiry column, a linear interpolation assumption is applied on the variance (not on the vol!).
Since the variance can never be negative, an error will be issued if the vol is required on a time that leads to a negative interpolated value for the variance.