Barrie & Hibbert

Knowledge Base » End December 2006 E USD in GBP Constant

End December 2006 E USD in GBP Constant

Document ID: 2006-426
Published on: 1st December 2006

This is an ESG model file containing Equity Volatility model parameters that can be imported into the ESG software. This contains parameters for the Constant Volatility model calibrated to implied volatilities on ATM S&P options, converted into 'equivalent' Sterling volatilities using USD/GBP FX implied volatilities as at End-December 2006.

• Model
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