IR Volatility Surface Configuration
IR Volatility Surface Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Name |
The volatility surface's name The underlying projection index must correspond to an IR_INDEX curve |
Curve Name & “ Vols” e.g. EUR ESTR Vols See list of permissible values |
| Expiry/Maturity Interpolator | Interpolation methodology for swaption expiry and cap/floor maturity |
e.g. Linear See list of interpolators |
| Expiry/Maturity Extrapolator Left/ Right | Extrapolation methodology for swaption expiry/capfloor maturity |
e.g. Flat See list of extrapolators |
| Tenor/Strike Interpolator | Interpolation methodology for swaption tenor and cap/floor strike |
e.g. Linear See list of interpolators |
| Tenor/Strike Extrapolator Left/ Right | Extrapolation methodology for swaption tenor/capfloor strike |
e.g. Flat See list of extrapolators |
| Swaption Skew Type | ATM volatilities only | Moneyness skew | Absolute strike skew | ATM_ONLY | MONEYNESS | STRIKE |
| Cap/Floor Model | Cap/floor valuation model | NORMAL | BLACK |
| SABR Beta | SABR Beta (optional) | Numeric. 0≤ β ≤ 1 |
| SABR Shift | The shift to calibrate the shifted SABR model (optional) | Numeric |
IR Volatility Surface Swaption Point Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Tenor | The swaption point’s tenor | Any tenor/expiry (e.g. 3M, 10Y) |
| Expiry | The swaption point’s expiry | Any tenor/expiry (e.g. 3M, 10Y) |
IR Volatility Surface Cap/Floor Strike Point Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
| Strike | The cap/floor’s strike | Numeric (e.g. 0.01) |
| Maturity | The cap/floor’s maturity | Any expiry (e.g. 3M, 10Y) |
IR Volatility Surface Swaption Skew Attributes and Permissible Values
| Field Name | Description | Permissible Values |
|---|---|---|
|
Moneyness (in bps) Strike (in %) | Skew value (moneyness or strike, as applicable) |
Numeric e.g. 100 for 100bps moneyness or 1 for 1% strike |
