Besides manually entering an instrument’s strike (i.e., a swaption’s fixed rate or a cap/floor’s cap/floor) as an absolute amount or using a relative index reference (see Defining a Relative Strike, Cap Rate or Fixed Rate), you can also enter it automatically using keyboard shortcuts.
That is, you tell SDX Interest Rates what sort of strike you want and SDX Interest Rates works out what the actual strike should be.
The strike can be specified using any of these listed keyboard shortcuts:
To define the strike for an ATMF option (where the strike is the same as the current forward rate) enter any of the following:
“atmf”
“atm”
“a”
To define the strike relative to the ATMF option enter atmf or atm or a and then + or - and the relevant percentage. So you could enter atmf + 3 or a - 4.
To define the strike as a specific delta, enter the delta amount and “d”, for example, 25d or 34d.
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Currently this method of strike definition is not supported in the Back Testing tool if you select the Payout at Maturity calculation mode. |
To define the strike as a specific number of basis points, enter the amount and “bp”. For example, if you enter 400bp the system then automatically converts this to 4.0%.
To use a keyboard shortcut to define a strike/cap/floor:
| 1. | Define the instrument. |
| 2. | In the Strike field enter the required shortcut for a specific delta or for an ATMF option. |
| 3. | Click Calculate. The system calculates the actual strike as a percentage and displays it in the Strike field. |