Editing the Volatilities in the Swaption Forward Rates Page

By default when you open the Swaption Forward Rates page the system displays the market data for the cut-off time selected in the pricing page.

In this page you can then edit both the ATMF volatility and the normal ATMF volatility inputs. You can edit each volatility rate individually or you can shift all the volatilities up or down by the same defined percentage for each tenor. You do this entering a percentage in the Shift swaption vol by field and using the + <> - toggle button to indicate if you want to shift the volatilities up or down.

Editing a volatility rate affects both the other volatility rate and the straddle price for the same expiry and swap length. However, although the corresponding volatility rate is automatically updated by the system, to update the corresponding straddle price field, you must click the Calculate button.

After making any changes, you can then tell the system to freeze the rates, i.e., to use the edited rates until further notification. You do this by clicking the Accept button.

The displayed rates are then used (in both the pricing pages and the Swaption Volatility Surface page) until you do one of the following:

Click the Refresh button in the Swaption Forward Rates page.

Click the Refresh button in the Single Option page or the Portfolio page.

Log out of the system.

To keep your edited rates you must save them into the SD-IR Explorer window. For more information see Saving a Set of Swaption Forward Rates.

To manually edit a volatility in the Swaption Forward Rates page:

1. Access the Swaption Forward Rates page.
2. Click the volatility you want to edit. The cell turns white.
3. Enter the new volatility.
4. Click outside the cell. The corresponding volatility for the same tenor is updated and both the volatilities are highlighted in blue.
5. To update the straddle price click the Calculate button.
6. To instruct the system to use the edited data displayed in this page in all calculations as relevant (instead of the realtime market data) until instructed otherwise, click Accept. This action automatically recalculates the straddle price as well.
7. Click OK.

To shift all the volatilities in the Swaption Forward Rates page:

1. Access the Swaption Forward Rates page.
2. In the Shift swaption vol by field enter the percentage by which you want to shift each volatility.
3. Click the Calculate button to shift the volatility for each tenor, and to then calculate the corresponding normal volatility and straddle price for that tenor.
4. To instruct the system to use the edited data displayed in this page in all calculations as relevant (instead of the realtime market data) until instructed otherwise, click Accept. This action automatically shifts the volatilities and recalculates the corresponding normal volatilities and straddle prices as well.
5. Click OK.