Re: Need formula

by Dimathematician :: Rate this Message:

Hi Ramesh,

This is Malz's formula and I hope you're aware of its assumptions errors and
of all the FX quotations implicit in it. (ATM quote of 0.5, put+call delta=1)

Well actually I'm planing to code it in QuantLib this or the next week. I'll
implement a more correct version which I've derived a while ago, taking
into account other fx conventions, such as premium adjusted.

What do you need this for if I might ask?

Actually,

2009/4/20 Ramesh Pedhamalla <ramesh.pedhamalla@...>

Hello

   I am trying to implement volatility formula using quantlib.I am using visual studio 6.0.

I have below inputs which will be use in computing the formula.We need to implement in different time intervals like 1 week,2 week,1 month…..

            At The Money volatility (ATM), denoted by

            25 Delta Risk Reversal, denoted by

            25 Delta Butterfly, denoted by

            Delta

This is the formula we need to implement in quantlib.

Please guide me regarding the my task.



Thanks in advance

Ramesh

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