I don't know how pricing systems account for this, but if you want to find the strike in the formulae you listed, and delta_call depends on the strike, you can just use an iterative solver (ie. Newton method, or the built-in SOLVER function in excel, or FSOLVE in matlab) to do it.

<t>There are few different defns of delta used in the FX market, as listed in Wystup's book:spot delta = exp(-rf*T)N(d1)forward delta = exp(-rd*T)N(d1)driftless delta = N(d1)I've tried to find out what the market convention is without too much luck, but I think the market usually uses the driftless ...

<t>I am trying to figure out the relationship between a RR on x calls (ie. vol of call on x - vol of put on x) and a RR on y calls (ie. vol of call on y -vol of put on y) for a currency pair xy.I checked in bloomberg- the relationship is indeed RR_eur = -RR_usd (as per the notation in my first post ...

Thanks MCarreira. Am I right in thinking that RR_eur is not equal to -RR_usd then? Does a simple conversion exist?By any chance, does anyone know the market standard for the pairs USD/JPY and USD/CAD?Thx.

<t>Wouldn't you just use the vol that corresponds to that OTM delta? ie. you have a vol for a 25 delta call. Then you can just solve for K in 0.25 = N(d1) since K is the only unknown variable in d1.Or do you mean you want to find it if you don't have the vol for something, like a 15 delta call? I kn...

<t>Sorry for the double posting, but I realized that this belongs here better than in the General Forumn.I have a question regarding FX Risk Reversals. Consider the currency pair USD/EUR (USD is domestic, EUR is foreign), with a call on EUR. The 25 delta risk reversal would then be:RR_eur = vol of 2...

<t>Hello,I have a question regarding FX Risk Reversals. Consider the currency pair USD/EUR (USD is domestic, EUR is foreign), with a call on EUR. The 25 delta risk reversal would then be:RR_eur = vol of 25D EUR call - vol of 25D EUR putSuppose we now want to look at a call on USD. The risk reversal ...