Market Normal Vol

The Market Normal Vol is the normal volatilityThe normal volatility shows the expected future fluctuations in terms of basis points rather than in terms of the logarithmic returns. That is, it is calculated on pure sample data that is assumed to be normally distributed.1 that is used to price the instrument for the defined strike.

It is only displayed for a swaption, forward swaption and a swaption strategy, and a cap/floor instrument, and it is only displayed after you click the Calculate button.

For a swaption, forward swaption and swaption strategy you can also enter your own market normal volatility and then re-calculate the Greeks and various values (see Changing an Options’s Volatility). However, for a cap/floor this value is read-only.

In the Single Option page for a swaption, swaption strategy and forward swaption this result is displayed as a bid/ask value in the Results area; in the Portfolio page it is displayed as a mid value in the input area in the MKT NVol field (and not in the Results area).