You can customize the volatility surface for both of the following:
Swaptions
Caps/floors
In the Settings window (see Customizing SDX Interest Rates) for the Volatility Surface for swaptions you can edit the following:
Settings
This includes the following:
Strike scale
This lets you set the scale used for the displayed strikes. You can choose any one of the following—delta, basis points, percentage, strikes or factors (which means that the strikes shown are calculated as a factor of the ATM strike).
Strike increments
This lets you set the increment between the displayed strikes.
Num of scenarios
This lets you set the number of scenarios that are displayed either side of the ATM volatility.
Fixed leg
This lets you define which dimension of the volatility surface is fixed, either the swaption expiry date or the swap length.
In addition, for each currency you can also define the default expiry date and swap length to be used when the expiry date or the swap length is the fixed dimension of the volatility surface.
For example, if for GBP you set the default expiry date to 2 years and the default swap length to 3 years, in the GBP Volatility Surface page if the fixed dimension is the expiry date then all expiry dates are set to 2 years, and if the fixed dimension leg is set to swap length then all swap lengths are set to 3 years.
Expiries
In the Expiries tab for each currency you define the default expiries to be displayed.
Swap Duration
In the Swap Duration tab for each currency you define the default swap terms to be displayed.
You make these changes in the Settings window > Swaptions Volatility Surface tab.
In the Settings window (see Customizing SDX Interest Rates) for the Cap/Floor Volatility Surface page you can edit the following:
Settings
This includes the following:
Strike scale
This lets you set the scale for the displayed strikes. You can choose any one of the following—delta, basis points, percentage, strikes or factor (which means that the strikes shown are calculated as a factor of the ATM strike).
Strike increments
This lets you set the increment between the displayed strikes.
Number of scenarios
Expiries
For each currency you can define which default expiries to display.
You do this in the Settings window > Cap Floor Volatility Surface tab.
To customize the volatility surface pages:
| 1. | Access the Settings window (see Accessing the Settings Window). |
| 2. | From the View Profile Settings dropdown list select the profile you want to see the settings for. |
| 3. | In the Settings window click the Swaption Volatility Surface tab (and then the Settings tab, the Expiries tab or the Swap Duration tab) or the Cap Floor Volatility Surface tab. |
| 4. | Click the tab whose details you want to edit. |
| 5. | Make any necessary changes. |
| 6. | If you are in: |
The SD profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button and then clicking Yes) or to a public profile (by clicking the Save as Profile button, entering a profile name and user group, and then clicking Save and then OK).
A public profile you can save these changes to your MyProfile profile (by clicking the Save as MyProfile button) or to the current public profile (by clicking the Save as Profile button and then Save and then OK).
Your MyProfile profile you can only save these changes to your MyProfile by clicking the Save as MyProfile button and then clicking Yes.
The changes are saved.
| 7. | To immediately apply the changes to the current page click Yes. The changes are applied. |
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Once you have customized the volatility surface page, the settings are not immediately applied to the page. To see the changes you must first close the page and then re-open it. |