You to shift the overall volatility surface up or down.
To shift the volatility surface you first instruct the system by what percentage to shift the ATM log normal volatility at each expiration/swap duration point. When you apply this change, after shifting each ATM log normal volatility point by the defined percentage the system then adjusts the rest of the volatility surface accordingly.
Once you have shifted the volatility surface and until you manually instruct the system to remove any changes by clicking the Refresh button, any shift in rates is retained during the current session. That means that if you shift the rates and then later in the same session shift the rates again, this latter shift is added to any previous shift(s) already made in the session.
Whenever you shift the volatility surface, in the page the total percentage by which you have shifted it in the current session is noted.
Note that:
To actually save the changes to the volatility surface, for use in the current session, you must click the Accept button.
If you shift the rates down by such an extent that one or more of them will be negative, the system will not implement the defined shift. A message is displayed to this effect.
To shift the volatility surface:
| 1. | In the Volatility Surface enter the percentage by which you want to shift the ATM log normal volatility. |
| 2. | Set the direction in which you want to shift the volatility surface using the + <> - buttons. |
| 3. | Click Calculate. The system shifts the ATM log normal volatility rates and then the rest of the volatility surface accordingly. It also notes in the page the total percentage by which you have shifted the volatility surface in the current session. |
| 4. | To save any changes to the volatility surface for use in the current session click Accept. |