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Allow toggling extrapolation method for FX delta smiles

Open gbfredrik opened this issue 10 months ago • 0 comments

Hi, We find it useful to allow toggling the extrapolation method, which currently would default to 'Flat' for delta skews. The code changes here are borrowed from the commodity delta volatility implementation, following the same logic.

I'll mark the PR as ready once we've extended the docs and XSDs.

Thanks! Fredrik

gbfredrik avatar Apr 11 '24 14:04 gbfredrik