Best way to extract Bloomberg implied vol surface data for calibration of Implied Vol interpolation method?
Shivansh
assuming the usual FX vol surface conventions are correctly set for the given market: how do I extract the 3D Bloomberg implied vol surface. I understand that the data from their implied vol table form the basis of our interpolation and that you can export to Excel. However, I would like to fit the implied vol surface and see how different methods behave relative to Bloomberg or Murex's surface - is there a standard way of checking this beyond evaluating the implied vol surface at multiple point