compute FX forward from broker's data
compute FX forward from broker's data
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4pie0 · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: 4pie0
Original post: https://quant.stackexchange.com/questions/7431
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
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assume I have following delta-term vol data from broker:
Spot 3.4550
O/N 1WK 2WK 3WK 1M 6WK 2M
Volatility 7.544 7.7 7.731 7.911 8.025 8.18 8.4
Forward Points 0.0004 0.0021 0.0045 0.0063 0.0079 0.0106 0.0164
EUR Depo Rate 0.405 1.205 1.145 1.128 1.1 1.11 1.13
PLN Depo Rate 4.216 5.028 4.586 4.187 3.558 3.58 3.626
Butterfly 0.157 0.19 0.229 0.268 0.34 0.368 0.44
RiskReversal 0.35 0.45 0.567 0.683 0.9 0.983 1.2
is this for sure that $f=S+Forward Points$ so
$f_{ON}=3.4550+ 0.0004=3.4554$
$f_{1M}=3.4550+ 0.0079=3.4629$
and so on,
regardless
delta quoting convensions and ATM convensions
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Quoted from Forex.com.bd-Editorial External question — Quantitative Finance Stack Exchange Author: 4pie0 Source score (net votes, not local likes): 1 Original post: https://quant.stackexchange.com/questions/7431 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. assume I have following delta-term vol data from broker: Spot 3.4550 O/N 1WK 2WK 3WK 1M 6WK 2M Volatility 7.544 7.7 7.731 7.911 8.025 8.18 8.4 Forward Points 0.0004 0.0021 0.0045 0.0063 0.0079 0.0106 0.0164 EUR Depo Rate 0.405 1.205 1.145 1.128 1.1 1.11 1.13 PLN Depo Rate 4.216 5.028 4.586 4.187 3.558 3.58 3.626 Butterfly 0.157 0.19 0.229 0.268 0.34 0.368 0.44 RiskReversal 0.35 0.45 0.567 0.683 0.9 0.983 1.2 is this for sure that $f=S+Forward Points$ so $f_{ON}=3.4550+ 0.0004=3.4554$ $f_{1M}=3.4550+ 0.0079=3.4629$ and so on, regardless delta quoting convensions and ATM convensions
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