List of Tables
Table 1.1 Currency pair quotation conventions and market terminology
Table 1.2 Currency pair exceptions to T + 2 settlement
Table 3.1 Delta conventions for common currency pairs
Table 3.2 Premium currency for major currency pairs
Table 3.3 Sample market volatility surface for EURUSD
Table 3.4 Sample market volatility surface for USDJPY
Table 3.5 1Y EURUSD smile with polynomial delta parameterisation
Table 3.6 1Y EURUSD Black–Scholes prices under delta polynomial
Table 3.7 1Y EURUSD smile with SABR parameterisation
Table 3.8 1Y EURUSD Black–Scholes prices under SABR
Table 4.1 Flat forward volatility interpolation by smile strike
Table 4.2 EURUSD market strangle and risk reversal at 1Y and 2Y
Table 4.3 EURUSD smile at 1Y and 2Y
Table 4.4 EURUSD smile at 1Y and 2Y with consistent market conventions
Table 4.5 Interpolated 18M EURUSD smile
Table 4.6 Typical term structure of volatility on a Friday
Table 4.7 Sample shortdated EURUSD day weights
Table 4.8 Sample intraday EURUSD weights
Table 5.1 A trivial upward sloping two-period term structure of implied volatility
Table 5.2 Forward volatility consistent with upward sloping implied volatility
Table 5.3 Implied and forward volatilities for a typical ATM volatility structure
Table 5.4 Example of implied volatility surface with convexity only beyond 1Y
Table 5.5 Example of local volatility surface with convexity only beyond 1Y