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Hi,I am new to the quant world and as such do not have too much experience in modelling. Would appreciate any help that I may get from you guys.I have created the implied vol surface using eq 14 approximation mentioned in fabio paper "consistent pricing of FX options". Now i wanna implement rolling of this smile with spot. I understand sticky delta rule but thats a very rough cut approximation for the smile roll. I am looking for smthing more robust than that, but haven't been able to come across any litt. on how to roll this vanna-volga smile surface with spot. Any ideas please?Thanks very much.
Hi,
I am new to the quant world and as such do not have too much experience in modelling. Would appreciate any help that I may get from you guys.
I have created the implied vol surface using eq 14 approximation mentioned in fabio paper "consistent pricing of FX options". Now i wanna implement rolling of this smile with spot. I understand sticky delta rule but thats a very rough cut approximation for the smile roll. I am looking for smthing more robust than that, but haven't been able to come across any litt. on how to roll this vanna-volga smile surface with spot. Any ideas please?
Thanks very much.
