quick and dirty price please (forex FVA)

granchio · Post by **granchio** » Tue Nov 20, 2007 9:45 pm

am away from my desk and doing napkin structuring... can someone post what the ~vol of an atm FVA on EURJPY would be, 1y long, starting 21dec7, and if not asking toomuch what bid/ask spread

if this is against forum guidelins, apologies and please trashcan

thanks

jungle · Post by **jungle** » Tue Nov 20, 2007 10:04 pm

Can't get you a quote on the FVA but for a very rough indication, spot starting 1y is 11.73 / 12.27 and 2y 11.16 / 12.34. 1m is 16.25 / 17.25. HTH.

granchio · Post by **granchio** » Wed Nov 21, 2007 1:05 am

thanks. do you remember how much i should take for the convexity adjustment?