For a swaption, forward swaption, the swaption strategies and a currency linked swaption you can edit any of the option’s market volatility, market normal volatility, ATMF volatility or the normal ATMF volatility (but not more than one of them simultaneously), and then recalculate the option’s Greeks and other results.
For a vanilla cap/floor, general cap/floor, quanto cap/floor and a currency linked cap/floor you can edit the market volatility, and then recalculate the option’s Greeks and other results.
For the volatility you are defining, you can define any of the following:
Just the bid value or just the ask value
If you define just the bid or ask, the system treats it as the mid value. Subsequently, after you recalculate the instrument the system copies the value to the empty textbox.
Both the bid and ask values
To edit an option’s volatility:
| 1. | Enter the instrument. |
| 2. | In the |
Single Option page in the Results area at the bottom left-hand side of the screen, click the Market Vol or the Market Normal Vol button as relevant to the type of instrument and then enter your own bid or ask value or bid and ask values. Or in the input area enter your own ATMF volatility or normal ATMF volatility.
Portfolio page in the deal’s input area, enter your own mid value in one of the following fields: ATMF Vol, Normal ATMF, Market Vol field or MKT NVol.
| 3. | Click Calculate to recalculate the Greeks and the other results. |