The exponential interpolation is adopted for the following delta curve:delta vol0.1 0.1280.25 0.130.5 0.1450.749 0.1660.899 0.189What is the rational for such exponential interpolation, is it just for convexity?
To price the vanilla XAUUSD option, I have the following concerns:1. For USD yield curve, can I include Eurodollar futures in the construction?2. How to construct yield curve for XAU? using the XAU forward contracts?Thanks.