The Cap/Floor Volatility Surface includes the following fields & buttons:
|
Field or Button |
Description |
|
Forward Rates button |
Opens the Cap Term Structure page, i.e., the market data page for cap/floor instruments, that displays the forward rate, the ATM volatility and the ATM straddle price for different expiries. For more information on this page see Cap Term Structure. |
|
Charts button |
Displays the volatility surface in a chart format. |
|
Refresh button |
It refreshes the market data in the current currency on the selected trade date, and then recalculates all implied volatilities accordingly. |
|
Settings button |
Opens the Settings window in the tab for the Cap/Floor Volatility Surface. For more information on this menu see Customizing the Volatility Surface. |
|
Caplet Volatility Surface <> Cap/Floor Volatility Surface |
Lets you define whether you want to display the Caplet Volatility Surface or the Cap/Floor Volatility Surface. |
|
Trade Date field |
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. 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. |
|
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. |
|
Based on dropdown list |
Defines for which tenor (of the interbank interest rate index) the volatility surface is displayed. |
|
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. |
|
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 Cap/Floor Volatility Surface. |
|
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). |
|
Scenarios dropdown list |
Lets you define how many scenarios to display on either side of the ATM volatility. |
|
Strike Increments dropdown list |
This lets you set the increment between the displayed strikes. |
|
Expiries dropdown list |
Defines for which expiry dates you want to display the volatility surface. |