Hi,Is it possible to *accurately* decompose the EURJPY spot/vol grid into a EURUSD spot/vol grid and a USDJPY spot/vol grid?We have a position in EURJPY FX option. To manage the risks, we produce a spot/vol grid for this currency pair.We also have spot positions in EURUSD, USDJPY, EURJPY, etc. Our reporting system would maintain spot positions on a currency basis against USD. Therefore the EURJPY spot position would be shown decomposed into EURUSD and USDJPY positions in our reporting system.By decomposing the EURJPY spot/vol grid we could aggregrate the spot and FX positions. Thanks in advance for any assistance rendered!

the opposite problem (combining AB and BC spot/vol surfaces to get AC spot/vol surface) is solved by collector i guess, using no cross-arbitrage.

amit7jul,Thanks very much for your help. I can't seem to find Collector's thread on this. Could you refer me to the link? Thank you very much.

Hi,any ideas anyone?Thanks in advance.