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volatility interpolation?
in fx optionif i know 1 week 10 delta and 25 delta volatility and 1 month 10 delta and 25 delta volatilityhow to calculate 2 week 15 delta volatility?
volatility interpolation?
If your interest is in pricing, the first answer is : all depends on if the date is a monday of a friday, and if the option os a TOK or a NY cut.if you are just marking a book, interpolate in two dimensions and you will be fine, but you ahave to make sure the price you get is no lower in premium than the 15 delta in 1W.For short dated option, I interpolate on premiums, and then back out vols for these.Good luck!
