Hi everyone
i have the following questions to ask:
1. In correlation trading, when considering the correlation between FX rates and Interest rates, what kind of correlation would you use? Log normal, normal , Log exponential etc.
2. In trading hybrid products how does one go about deciding the value of correlation to be factored into the pricing model.
3. In terms of historical correlation what period would you consider appropraite to analyze historical correlation? One year, two years etc...
Thanks in Advance
i have the following questions to ask:
1. In correlation trading, when considering the correlation between FX rates and Interest rates, what kind of correlation would you use? Log normal, normal , Log exponential etc.
2. In trading hybrid products how does one go about deciding the value of correlation to be factored into the pricing model.
3. In terms of historical correlation what period would you consider appropraite to analyze historical correlation? One year, two years etc...
Thanks in Advance