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by violaski
June 18th, 2011, 12:36 am
Forum: Technical Forum
Topic: variable notional FX forward
Replies: 1
Views: 21299

variable notional FX forward

<t>My gut feeling is that the forward rate of the variable notional forward is adjusted as usual as quanto forward is, i.e., correlation * vol(a) * vol(b), but can anybody please confirm it?By variable notional FX forward, I mean:Payoff in currency CCC = AAA-BBB(T) / AAA-BBB(0) * ( BBB-CCC(T) - K* )...