The Caplet Volatility Surface includes the following fields & buttons:
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Field or Button |
Description |
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Refresh button |
It refreshes the market data in the current currency on the selected trade date, and then recalculates all implied volatilities accordingly. |
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Accept button |
Once you have shifted the caplet/floorlet volatility surface (and the cap/floor 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 Caplet Volatility Surface. |
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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. |
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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. |
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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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Based on dropdown list |
Defines for which tenor (of the interbank interest rate index) the volatility surface is displayed. |
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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.
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Strike Scale dropdown list |
Lets you define whether the scale used for the strikes is based on basis spreads, percentages or strikes. |
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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 |
This lets you set the increment between the displayed strikes. |
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Shift Volatility By |
Lets you shift the overall volatility surface up or down. For more information see Shifting the Cap/Floor 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 caplet volatility surface (and the cap/floor volatility surface) accordingly. It also notes in both the volatility surface pages the total percentage by which you have shifted the volatility surface in the current session. For more information on this feature see Shifting the Caplet Volatility Surface. |