Aug 10, 2021
liked the post and implementation. One thing you want to consider is that in FX your convention is to quote in delta terms instead of strikes, so you want to think how to adjust the surface construction based off delta
liked the post and implementation. One thing you want to consider is that in FX your convention is to quote in delta terms instead of strikes, so you want to think how to adjust the surface construction based off delta
Global Volatility Trading. Python addict. Bloomberg Junkie. Amateur Boxer and boxing coach (RSB cert.)!No investment advice!