FX Implied Vol Surface class

[vgdev]

Hi,

Does there exist any implementation of  the BlackVarianceSurface suitable for FX implied vol surfaces?
As FX Implied vols are quoted corresponding to call/put delta, and will thus have a different set of strikes for various maturities. I.e. we have a matrix of strikes and a matrix of IVs, but the BlackVarianceSurface only allows for a vector of strikes.

br/
V

[Luigi Ballabio]

Sorry, we don't have such an implementation. If you write one, please consider contributing it.

Luigi

On Tue, Jul 4, 2017 at 11:19 AM vgdev <[hidden email]> wrote:

Hi,

Does there exist any implementation of  the BlackVarianceSurface suitable
for FX implied vol surfaces?
As FX Implied vols are quoted corresponding to call/put delta, and will thus
have a different set of strikes for various maturities. I.e. we have a
matrix of strikes and a matrix of IVs, but the BlackVarianceSurface only
allows for a vector of strikes.

br/
V



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