Serving the Quantitative Finance Community
vol swap mark-to-market
Last edited by ytfloyd on August 15th, 2006, 10:00 pm, edited 1 time in total.
vol swap mark-to-market
Or...How far off will the mark-to-market value of a 1M vol swap (G7 FX) be if you simply use a time-weighted average of realized volatility since inception and current implied volatility? Is the error closer to .01% or 10%? Thanks in advance.