FX Vol Term Structure

Posted by tarpanelli@libero.it on
URL: http://quantlib.414.s1.nabble.com/FX-Vol-Term-Structure-tp9047.html

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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