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Testing VolatilityLocate this document in the navigation structure

Prerequisites

You have defined a volatility type and have saved volatility for the volatility type in the system.

Context

The Test Volatility report simulates the users' access to volatility. You do not have to create transactions to use it. You can reconstruct the volatility determined based on the method for calculating volatility that is defined.

Procedure

  1. In the area menu for Market Data, choose Start of the navigation path Volatilities Next navigation step Test Volatility End of the navigation path.
  2. Enter a Market Data Area and a Volatility Type.
  3. The entries you make on the tab pages Interest, Currency, and Securities determine the underlying of the volatility.
  4. Select a Current Date.
  5. Choose Execute.

    Depending on the volatility type that you have chosen, the Test Volatility (Interpolation) or Test Volatility (Nearest Neighbor Search) screen appears.

  6. Enter the parameters Option Due Date, Moneyness, and Due Date UL for the required volatility type.
  7. Choose Enter.

Results

The system displays the volatility determined on the right-hand part of the screen.

If the volatility type in question uses the interpolation method to determine volatility, two additional tab pages are displayed.

  • The Simplex Found tab page lists the vertices of the simplex that the interpolated or extrapolated volatility has delivered.

  • The Simplex List tab page shows the simplexes and vertices that were formed.