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Hi Ronaldo, From the implmentation point of view, this formula is not entirely correct. It's correct if this would be the spot delta for a call. For the put the formula is slightly different (See formulas below with phi=1 for call and phi=-1 for put). For forward delta, there is no exp(rT) in...

Hi Raul, I am not so sure about Fabio's formulae, but I'll suggest you try Malz. You will not get such an error with that, since the strike depends directly on delta. Hope that helps.

Thanks Bob..Your post was very helpful. I was indeed confused between spot n fwd deltas. Now i am using your eqn for strike inversion: \(K = F exp{\frac{1}{2}\sigma^{2}T-\sigma \sqrt{T}N^{-1}[\Delta_{forward} e^{rT}]}\) where F = S * exp((r-q)*T) Posting my updated file here. Many...

also...I have heard that malz paper is derived for fwd deltas... i interpreted it to mean that instead of spot, we use fwd in this formula [ Replace S by F = S* exp(r*T)] \(K = S_0 exp{(r-q+\frac{1}{2}\sigma^{2})T-\sigma \sqrt{T}N^{-1}[\Delta e^{qT}]}\) is that incorrect? plz lemme know if my...

hey bob.. tks for the reply. i checked...am using foreign rate only... I fixed the problem by calculating values for only otm options...So instead of trying to invert for a 95delta itm call, i am now calculating it for 5d otm put..It works..although not sure if its the correct method..the...

Attaching the paper as well as the excel sheet with my code. Would appreciate any guidance u can provide me. I have been told that malz paper is derived for fwd deltas; which basically means that i use fwd instead of spot in the delta formula.. right? Thanks.

Like i said earlier, i have implemented the fabio paper eq 14 approximation for creating a vol surface. Although that fails at certain extremely low delta puts for ccycpls with extreme skew. So need to implement it via eq 12 to get a more robust implementation. Now i am trying to implement...

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...