Hi all
There seems be a lack of liquidity for caps/floors for Asia currencies, not even AUD. I should be able to get the shorter end ATM cap/floors, but nothing much on the skews. Can't see much in SDR apart from USD/EUR/JPY. Only thing remotely have a skew is the ASX 3Y and 10Y AUD Bond Futures Options. Apparently for EUR, the 1Y Swaptions SABR skew should be similar to the 1Y Cap/Floor. So maybe I can use that for 1Y. Any suggestions welcome... apart from asking banks for an OTC quote.
thanks