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Editing VolatilityLocate this document in the navigation structure

Context

You can use this transaction to manually enter interest rate volatility, exchange rate volatility, security volatility, and volatility that is not based on an underlying.

Procedure

  1. In the area menu for Market Data, choose Start of the navigation path Volatilities Next navigation step Edit Interest Rate Volatility or Edit Exchange Rate Volatility or Edit Security Volatility and Non-Underlying-Based Volatility End of the navigation path.
  2. Enter the Market Data Area and the Volatility Type as key fields. Enter the current date as well as the following information to identify the underlying:

    • Reference interest rate for interest rate volatility

    • From and to currency for exchange rate volatility

    • External template category and external number for security and non-underlying-based volatility

  3. Choose Change.
  4. You now have to define the following information in the system in order to store volatility:

    • Validity date of the volatility

    • Underlying

    • Maturity of the option (for implied volatility only)

    • Moneyness (for implied volatility only)

    • Maturity of the underlying (for interest rate options; is calculated automatically by the system from the term of the reference interest rate)

    • Volatility (annualized in percent)

    • Template category of the option (for implied volatility only), here financial transaction or financial instrument

    • External number of the option (for implied volatility only), for example, the external number of a swaption (template category: financial transaction)

  5. Save your entries.