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Hi,
This question is probably more for professionals who have been working with Volatility surface.
Please consider this:
This is an example of vol surface for option on FX forwards by Bloombergs OVDV. My Question: How is time to maturity set in this function?
The implied vol's have been put in the Black-Scholes formula and here it is really important how a year for instance is measured. Is it T-t = 1, T-t = 365, T-t = 252 (trading days) or someting else.
Which exact numeric value does 1day, 1week, 1month, 1year have?
This question is probably more for professionals who have been working with Volatility surface.
Please consider this:
This is an example of vol surface for option on FX forwards by Bloombergs OVDV. My Question: How is time to maturity set in this function?
The implied vol's have been put in the Black-Scholes formula and here it is really important how a year for instance is measured. Is it T-t = 1, T-t = 365, T-t = 252 (trading days) or someting else.
Which exact numeric value does 1day, 1week, 1month, 1year have?
