From the Cap/Floor Volatility Surface you can load a cap with a specific tenor and strike into the Single Option pricing page.
You do this by clicking a specific strike or volatility for a certain expiry in the Cap/Floor Volatility Surface. This opens a cap in a new pricing page.
However, it is important to note that the cap’s volatility (which is used to calculate the cap’s market price) is displayed in the Single Option page in the Market Vol result in the Results area at the bottom right-hand side of the pricing page. In order to see it as it is displayed in the Cap/Floor Volatility Surface, you must first calculate the cap.
In addition, the option’s:
Index tenor is taken from the Cap/Floor Volatility Surface.
If the index tenor is different from the default for the current currency and tenor then it is highlighted in yellow.
ATMF volatility rate is taken from the ATM column in the Cap/Floor Volatility Surface for the chosen tenor/expiry.
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When you open an option in this way in the pricing page the system uses the real-time market data. It is important to note that once you open the Cap/Floor Volatility Surface the rates are not automatically refreshed. Therefore to verify that you see the same rates in the Cap/Floor Volatility Surface as you see in the pricing page for the loaded option, it is advisable to click the Refresh button. |
To load a cap into the Single Option page from the Cap/Floor Volatility Surface:
In the Volatility Surface, click the relevant strike or implied volatility. A cap with that value is loaded into the Single Option page.