s*****u
发帖数: 164 | 1 Does anybody have any idea how the FX vol smile
is constructed in Bloomberg? I tried to use 25
delta market quotes to fit with quadratic delta
vol, vanna-volga, and SABR. Quadratic delta vol
gives lower volatilities for options deep out of
money, and VV and SABR gives higher results. I
also tried to find any documentation for the recipe
used in Bloomberg, but could not find anything.
Can anybody help me on this matter? Thanks! | k*****n
发帖数: 117 | | r**a
发帖数: 536 | 3 i think his question is beyond this. In this article, it is only useful for
the case that the vol of RR and BFL have been known for any value of delta.
If i am wrong, please correct me.
【在 k*****n 的大作中提到】
: does reading this help?
: http://www.riskad.com/pdf/12_www.riskad.com_fxsmilecurve.pdf
| s*****u
发帖数: 164 | 4 You're right, I need to construct the vol smile
from only straddle, 25 delta BF and RR market quotes.
There are even different conventions for BF and RR,
but I only need to know how Bloomberg implements
their calibration for the FX vol smile.
for
.
【在 r**a 的大作中提到】
: i think his question is beyond this. In this article, it is only useful for
: the case that the vol of RR and BFL have been known for any value of delta.
: If i am wrong, please correct me.
| r**a
发帖数: 536 | 5 I do not have the answer. But have you tried some interpolation methods like
cubic spline?
【在 s*****u 的大作中提到】
: You're right, I need to construct the vol smile
: from only straddle, 25 delta BF and RR market quotes.
: There are even different conventions for BF and RR,
: but I only need to know how Bloomberg implements
: their calibration for the FX vol smile.
:
: for
: .
| m******a
发帖数: 9 | 6 The interpolation of BBG is strange for me
sigm(k) = a N(d_a(K))^2 + b N(d_a(k)) + c + A(log(F/K))
d_a(k) = log(F/k)/(1.5 sigma_atm T)
A(log(F/K)) is error correction function, linear or cubic will used to
interpolate discrete error correction point.
Who can tell me what is the ATM standard nowadays?
Before I believe Delta Neutral ATM <= 1Y, FWD ATM > 1Y.
But some asan told me Spot Atm is now the standard.
【在 s*****u 的大作中提到】
: Does anybody have any idea how the FX vol smile
: is constructed in Bloomberg? I tried to use 25
: delta market quotes to fit with quadratic delta
: vol, vanna-volga, and SABR. Quadratic delta vol
: gives lower volatilities for options deep out of
: money, and VV and SABR gives higher results. I
: also tried to find any documentation for the recipe
: used in Bloomberg, but could not find anything.
: Can anybody help me on this matter? Thanks!
| s*****u
发帖数: 164 | 7 Thanks, buddy!
In Bloomberg terminal, you're free to choose the conventions,
forward and DNS for ATM, spot and forward for delta, as far
as I can remember.
【在 m******a 的大作中提到】
: The interpolation of BBG is strange for me
: sigm(k) = a N(d_a(K))^2 + b N(d_a(k)) + c + A(log(F/K))
: d_a(k) = log(F/k)/(1.5 sigma_atm T)
: A(log(F/K)) is error correction function, linear or cubic will used to
: interpolate discrete error correction point.
: Who can tell me what is the ATM standard nowadays?
: Before I believe Delta Neutral ATM <= 1Y, FWD ATM > 1Y.
: But some asan told me Spot Atm is now the standard.
| r**a
发帖数: 536 | 8 It seems that the delta-neutral ATM convention is still very popular in the
market quotes, e.g. eur-usd.
【在 m******a 的大作中提到】
: The interpolation of BBG is strange for me
: sigm(k) = a N(d_a(K))^2 + b N(d_a(k)) + c + A(log(F/K))
: d_a(k) = log(F/k)/(1.5 sigma_atm T)
: A(log(F/K)) is error correction function, linear or cubic will used to
: interpolate discrete error correction point.
: Who can tell me what is the ATM standard nowadays?
: Before I believe Delta Neutral ATM <= 1Y, FWD ATM > 1Y.
: But some asan told me Spot Atm is now the standard.
|
|
