September 2015

FX Skew ~ PART I

September 22, 2015

Today will be a quick post that is part of a series on FX volatility skew in G10. To do that we will have a look at implied versus realised skew. To decompose realised and implied skew we will use the following definitions. Implied Skew is the change in implied volatility that is priced into … More FX Skew ~ PART I

Akima Spline Interpolation in Excel

September 1, 2015

I am back after a two week trip to the land of twisted melodramatic tv series, androgynous boy bands, delicious food, and perennial jingoistic posturing by a divided people. I am obviously talking about Korea. Was such a pleasure to visit with family and bounce around Seoul. Now it’s time to catch up with the … More Akima Spline Interpolation in Excel