Toggling Between the Volatility Surface for Collateralized and Non-Collateralized Swaptions

For the EUR, GBP and JPY currencies, there are two volatility surfaces available—one for collateralized swaptions (which use the discount factors from the OIS curve) and one for non-collateralized swaptions (which use the discount factors from the LIBOR yield curve).

Accordingly, when you enter into a swaption on one of these currencies, the system automatically decides which volatility surface to use depending on the type of swaption you are entering into, i.e., whether you are pricing a collateralized or a non-collateralized swaption. You control the type of swaption in the pricing page using the Collateralization button—for more information see

In the Swaption Volatility Surface, you can toggle between displaying the volatility surface for the non-collateralized swaptions and the one for the collateralized swaptions. You do this using the LIBOR Discounting and OIS Discounting buttons.