• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering.
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Coming soon.
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models.

Bloomberg Volatility Surface (OVDV function): How is time to maturity measured?

Aber

Member
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?
 
Top