Reuters has released a set of chained Reuter Instrument Codes (RICs) covering foreign exchange volatilities.
According to a spokesperson for Reuters, the vendor introduced the new chained RICs -- dubbed FXVOL and DEMVOL1 -- earlier this year. The chains cover implied forex volatilities derived from plain vanilla at-the-money OTC calls/puts, the spokesperson says.
The spokesperson says that the chains cover volatility estimates from several different brokers, and are readily available on Reuter
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