FX Volatility Surface Configuration
FX Volatility Surface ATM Volatility Point Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Base Ccy | The FX option's underlying base currency. 3-letter ISO 4217 currency code. | Any currency in FX Cat A and FX Cat B |
| Counter Ccy | The FX option's underlying counter currency. 3-letter ISO 4217 currency code. | See FX Rate Rule |
| Expiry | The FX option’s expiry | Any tenor (e.g. 3M, 10Y) |
Permissible currency values can be split into the two categories that are specified here.
FX Volatility Skew Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Currency Pair | The FX option’s underlying FX rate | Any existing FX rate |
| Delta 1 | Moneyness (delta) | 10 or 25 |
| Delta 2 | Moneyness (delta) | 10 or 25 |
