The Swaption Forward Rates page displays the term structure for options based on swap rates. This includes swaptions, swaption strategies and CMS products.
The term structure includes the following market rates:
Forward rate
This is the interest rate for a specific interval of time starting on a specific date in the future.
It is derived from the Yield Curve page.
Straddle price
This is the price of a swaption straddle strategy. It is affected by the ATMF volatility. Accordingly, if you edit the volatility you will then need to click the Calculate button to see the new straddle price.
Vol %
This is the ATMF log normal volatility displayed as a percentage.
Log normal volatility denotes the extent to which the returns of the underlying is expected to fluctuate in a given time period.
Given observed prices the log normal volatility as presented in the volatility surface is the implied log normal volatility calculated from the option’s observed price using the Black-Scholes model.
The ATMF log normal volatility is editable. For more information see Editing the Volatilities in the Swaption Forward Rates Page.
Normal Vol
Normal Vol 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.
This volatility is also referred to by market practitioners as the “bp Vol”.
This rate is editable. For more information see Editing the Volatilities in the Swaption Forward Rates Page.
Each rate is displayed for a given expiry and swap length.
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Once this page has been opened, the displayed rates are not automatically updated until you click the Refresh button. |
The Swaption Forward Rates page is accessed by clicking the Forward Rates tab > Swaption tab on the left-hand menu. Alternatively, on the ribbon bar in the Trader tab or the Market Data tab click the Fwd Rates button and then Swaption.
The Swaption Forward Rates page is accessed by:
Clicking the Forward Rates tab > Swaption tab on the left-hand menu.
From the Trader or Market Data tabs > Forward Rates button > Swaption.
From the Open button > Forward Rates > Swaption.
The following topics are covered:
Fields & Buttons in the Swaption Forward Rates Page.
What Can be Done in the Swaption Forward Rates Page? .
Customizing the Market Data in the Swaptions Forward Rates Page & the Cap Term Structure Page .