End September 2008 SnP in GBP Constant Volatility
Document ID: 2008-1108
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 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-September 2008.
