Published November 13, 2022
| Version v1
Presentation
Open
Broker Strangle Algorithm for Volatility Surface
Creators
Description
Broker Strangle Algorithm is used to calibrate FX volatility surface. At anchor expiry terms, the algorithm produces 25% and 10% Delta Call and Put volatilities from market at-the-money volatility, 25% and 10% Delta Risk Reversal and Broker Strangle volatility spreads.
Notes
https://finpricing.com/lib/EqCallable.html
Files
BrokerStrangleAlgorithm.pdf
Files
(150.2 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:3fde48da73252346047dadfeb0c5f3c2
|
150.2 kB | Preview Download |