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Synthetic forward question
A long synthetic Forex forwards means to buy a Call and sell a Put for the same maturity and the same strike.However, what about the implicit Volatility about Call and Put?. If I try to build this FX forward, should I pick similar volatilities to avoid arbitarge under Put-Call parity.?RegardsHernan
Synthetic forward question
besides the bid/offer spreads, the vol for puts and calls with identical strike and maturity should be identical. Otherwise, set up the arbitrageanyway, I would say that if you do a synthetic forward, the total vega is zero anyway