Power Reverse Dual Currency Note - Model - Inputs

Inputs

  • Correlation constants between each factor. Those correlation parameters are usually estimated historically or calibrated to market prices
  • FX volatility calibrated to FX Options and user inputs
  • IRS volatilities of each currency calibrated based on IRS Swaptions and yield curves
  • Yield curve of money market rate1 and rate2 based on deposit rates, futures prices and swap rates
  • Basis swap spread curves
  • Spot FX rate

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