FX Vol Term Structure

Hello,

I am trying to build a forex volatility term structure.

My input data are:
a list of tenors (e.g. 1W, 1M, 3M....)
a matrix of strikes a matrix of implied volatilities.

is there any possibility to build such a type of volatility surface to create
a forex vol term structure?

thx,
Paolo






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[Bojan Nikolic]

"[hidden email]" <[hidden email]> writes:

> My input data are:
> a list of tenors (e.g. 1W, 1M, 3M....)
> a matrix of strikes a matrix of implied volatilities.
>
> is there any possibility to build such a type of volatility surface to create
> a forex vol term structure?

See the class BlackVarianceSurface
(ql/termstructures/volatility/equityfx/blackvariancesurface.hpp)

Best,
Bojan

--
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql

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Learn how Oracle Real Application Clusters (RAC) One Node allows customers
to consolidate database storage, standardize their database environment, and,
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http://p.sf.net/sfu/oracle-sfdevnl
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