FX Volatility Surface

A quantitative finance repository focused on constructing the FX volatility surface and pricing FX vanilla options in Excel through a VBA-based implementation.

This project is delivered as a macro-enabled workbook, combining surface construction and option pricing tools inside a single Excel environment.

---

Repository Structure

FX-Volatility-Surface/
└── FX Volatility Surface.xlsm

---

Project Overview

This project focuses on the construction of the FX volatility surface and the pricing of FX vanilla options within an Excel/VBA framework.

The workbook is designed as a self-contained pricing tool, where the VBA layer handles the quantitative logic and the Excel interface provides the user environment for inputs, calculations, and results.

Because the project is distributed as an .xlsm macro-enabled file, Excel security settings may block the workbook when it is downloaded from GitHub.

---

VBA / Excel Setup

To run the workbook correctly, Excel must allow the VBA macros contained in the file.

If macros are blocked:

1. Close the workbook.
2. In Windows File Explorer, right-click FX Volatility Surface.xlsm.
3. Click Properties.
4. In the General tab, look for the Unblock checkbox near the bottom.
5. Check Unblock, then click Apply and OK.
6. Reopen the workbook in Excel and enable macros.

---

Best use case

Use this workbook when working with FX options and building an Excel/VBA pricing environment for FX volatility surface construction and vanilla option valuation.

---

How to Use

1. Download or clone the repository.
2. Open FX Volatility Surface.xlsm in Microsoft Excel.
3. If Excel blocks the file, follow the VBA / Excel Setup instructions above.
4. Enable macros and use the workbook interface.

Clone the repository:

git clone https://github.com/Idriss-Afra/FX-Volatility-Surface.git

---

Author

Idriss Afra