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Products
FX Options belong to our core passion. Based on our decades of experience in front-office roles and many consulting projects we have developed our MFVal in-house, which can be integrated into your risk management system.
MFVal – the FX Volatility Surface Library
written in C++, interfacing to excel, python
taking up common brokers’ quotes for ATM, risk reversals and butterflies for standard tenors
interpolating / extrapolating volatilities in both space and time
respecting arbitrage constraints, sufficient smoothness and richness
including calendar features, time-zone/event weighting
processing the full range of delta and moneyness conventions
Example:
EUR-USD volatility smile (dots as input) and the interpolation in MFVal
