For the Term Structure page you can control the following:
Default display mode
For commodities which are exchange traded (but not for those which are traded OTC), you can choose to display by default either of the following:
Regular SuperDerivatives’ term structure only
Exchange Prices mode
This displays the regular SD term structure together with the exchange prices. This includes the exchange’s prices for the call and put (as well as their volatilities) for a range of strikes.
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For commodities which are only traded OTC, only the SD term structure is available. |
Which tenors the term structure is displayed for:
All available exchange contract dates.
All exchange contract dates plus extra dates added out to a defined time.
In this case, the system will automatically interpolate any missing future contracts for exchange traded energy assets. For more information on this feature click here.
Whether exchange prices are highlighted after a certain time.
This helps you see how old the displayed data is.
Whether in the Exchange Prices display mode you see the button which lets you choose to display SuperDerivatives’ prices.
You do this using the Display SD Prices button.
In the Exchange Prices display mode whether the volatilities for each strike are the calculated volatilities or exchange volatilities as follows:
Calculated volatilities This is the implied volatility for each strike calculated by inputting the exchange prices for the call and put into the Black-Scholes model.
Exchange volatilities These are the volatilities provided by the exchanges. If no data is provided for a value, the field is left empty.
To customize the Term Structure settings:
| 1. | On the ribbon bar in the Home tab click the Settings button. |
| 2. | In the Customize window, click the Term Structure tab. |
| 3. | Make your changes as necessary. |
| 4. | Click Save and then OK. Your settings are saved. |
| 5. | Click Close. The Customize window closes and your edited changes are displayed in the Term Structure page. |