End March 2008 SnP in GBP TVDV
Document ID: 2008-1109
Published on: 17th October 2008
This is an ESG model file containing Equity Volatility model parameters that can be imported into the ESG software. This contains parameters for the Deterministic Volatility model calibrated to implied volatilities on ATM S&P options, converted into 'equivalent' Sterling volatilities using SnP/GBP FX implied volatilities as at End-September 2008.
