From the Swaption Volatility Surface you can load a swaption with a specific expiry, swap term and strike into the Single Option pricing page. You do this by clicking either a strike or volatility for a certain expiry and swap term in the Swaption Volatility Surface. This opens a swaption in a new pricing page.
If in the Swaption Volatility Surface you click a strike, the swaption is loaded into the pricing page with that strike. If you click a volatility, the swaption is loaded into the pricing page with the strike displayed for that volatility in the volatility surface. Similarly, the swaption’s expiry and swap term is also defined according to the value you click in the volatility surface. For example, if you click a strike/volatility for a 1Y2Y swaption, in the pricing page you get a 1Y2Y swaption; if you click a strike/volatility for a 1Y6Y swaption, in the pricing page you get a 1Y6Y swaption, etc.
Moreover, in the pricing page the rates for the ATMF volatility and the normal ATMF volatility are taken from the ATM column in the Swaption Volatility Surface for the chosen expiry and swap term. To see the market volatility and the normal market volatility in the pricing page as they are displayed in the Swaption Volatility Surface, you must first calculate the swaption. These results are then displayed in the Results area at the bottom right-hand side of the pricing page.
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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 Swaption Volatility Surface the rates are not automatically refreshed. Therefore if you want to verify that you see the same rates in the Swaption Volatility Surface as you see in the pricing page for the loaded option, it is advisable to click the Refresh button. |
To load an option into the Single Option page from the Swaption Volatility Surface:
In the Volatility Surface, click the relevant strike, implied volatility or normal implied volatility. The option with that value is loaded into the Single Option page.