The Swaption Volatility Surface includes the following fields & buttons:
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Field/Button |
Description |
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Forward Rates button |
Opens the Swaption Forward Rates page, which displays for each swaption expiry and underlying swap the forward rate, the swaption ATM straddle price, the ATM volatility and the ATM normal volatility. For more information on this page see Swaption Forward Rates. |
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Charts button |
Displays volatility surface in chart format. |
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Refresh button |
By default it refreshes the market data in the current currency on the selected trade date for this market data type only, and then recalculates all implied volatilities and normal volatilities accordingly. In addition, it can also refresh all the market data in all the curves (i.e., for all currencies and all trade dates) frozen in this session for this market data type only. For more information on these two Refresh s, see Refreshing Data in the Market Data Pages. |
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Accept button |
Once you have shifted the volatility surface, this button saves the changes to the displayed rates for use in the current session. For more information on this feature see Shifting the Swaption Volatility Surface. |
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Settings button |
Opens the Settings window in the tab for the Swaptions Volatility Surface page. For more information on this menu see Customizing the Volatility Surface. |
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Libor Discounting <> OIS Discounting |
Lets you toggle between displaying the volatility surface for a non-collateralized swaption or a collateralized swaption. For more information see Toggling Between the Volatility Surface for Collateralized and Non-Collateralized Swaptions.
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Trade Date |
Defines the trade date for which the volatility surface is displayed. By default it displays the trade date in the pricing page from which this page was opened. If the trade date is the current date, the current system rates are used. If the trade date is a historical date, the system brings the rates saved on that date at the relevant cut-off time selected for that currency. For more information on selecting a cut-off time per currency for use in historical pricing see Customizing the Market Rates Cut-off Time per Currency for Historical Pricing. |
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Currency dropdown list |
Defines the currency for which the volatility surface is displayed. By default it displays the currency in the pricing page from which this page was opened. |
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Cut Off dropdown list |
Defines the cut-off time of the market data that is being displayed in this market data page. By default the market data page automatically opens with the set of market data chosen in the Cut Off dropdown list in the pricing page. This lets you see in detail which rates will be used for pricing purposes. From this dropdown list you can then display a different set of market data, i.e., the rates saved at a different cut, by choosing a different cut-off time from the Cut Off dropdown list. However, note that selecting a different cut-off time in this page is for display purposes only and does not affect the cut-off time of the market data used in the pricing page. For more information on the choices available see Changing the Market Data Cut-off Time. |
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Market Data Source dropdown list |
Displays the current market data source for this page. By default the default market data source is taken from the Settings window > Default Settings tab > General tab > Market Data Source dropdown list. However, from this dropdown list you can change the market data source to any you have permissions for. For more information see Changing the Market Data Source in the Swaption Volatility Surface. |
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Strike Scale dropdown list |
Lets you define whether the scale used for the strikes is based on basis spreads, percentages, strikes, or factors (which means that the strikes shown are calculated as a factor of the ATM strike). |
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Scenarios dropdown list |
Lets you define how many scenarios to display on either side of the ATM volatility. |
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Strike Increments dropdown list |
Lets you set the increment between the displayed strikes. |
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Expiration |
Defines for which expiry dates you want to display the volatility surface. |
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Swap Duration |
Defines for which swap lengths you want to display a volatility surface. |
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Constant <> Variable |
Defines for which combination of expiry dates and swap lengths the volatility surface is displayed. Setting the button next to the: Swap Duration dropdown list to Constant means that you will see different expiry dates and a constant swap length, e.g., 1m1y, 2m1y, 3m1y. Expiration dropdown list to Constant means that you will see a single expiry date and different swap lengths, e.g., 1y1y, 1y2y, 1y3y, etc. By default, for each currency the fixed expiry date/swap length is set in the Settings window (see Customizing the Volatility Surface) although you can then manually edit it. |
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Shift Volatility By |
Lets you shift the overall volatility surface up or down. For more information see Shifting the Swaption Volatility Surface. |
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Calculate button |
Once you have defined the percentage by which to shift the ATM log normal volatility in the Shift Volatility By field, this button instructs the system to shift the ATM log normal volatility rates, and then the rest of the volatility surface accordingly. It also notes in the page the total percentage by which you have shifted the volatility surface in the current session. For more information on this feature see Shifting the Swaption Volatility Surface. |