Hello everyone,
I am a litle desperate about transforming given deltas to strikes at the following "Volatility Surface".
10DPUT ... 25DPUT ... ATM ... 25DCALL ... 10DCALL
1W 14.481 ... 14.387 ... 15.250 ... 17.387 ... 19.281
2W 14.831 ... 14.737 ... 15.600 ... 17.738 ... 19.631
... ... ... ... ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ...
2Y 15.638 ... 15.825 ... 17.300 ... 20.225 ... 22.675
I have read Mercuiro's paper. According to paper (as far as I understood) I am
supposed to get one strike for each delta. But, I am getting different strikes
for each maturiy. What I want is exactly the same matrix as I submitted above except
the first row, instead of deltas I want to show the strikes. Any help?
I am a litle desperate about transforming given deltas to strikes at the following "Volatility Surface".
10DPUT ... 25DPUT ... ATM ... 25DCALL ... 10DCALL
1W 14.481 ... 14.387 ... 15.250 ... 17.387 ... 19.281
2W 14.831 ... 14.737 ... 15.600 ... 17.738 ... 19.631
... ... ... ... ... ... ... ... ... ...
... ... ... ... ... ... ... ... ... ...
2Y 15.638 ... 15.825 ... 17.300 ... 20.225 ... 22.675
I have read Mercuiro's paper. According to paper (as far as I understood) I am
supposed to get one strike for each delta. But, I am getting different strikes
for each maturiy. What I want is exactly the same matrix as I submitted above except
the first row, instead of deltas I want to show the strikes. Any help?