4.3.6 Volatility Surface

The Volatility Curve UI allows you to select the curve. The curve selected will contain volatility rates. If you select this option, all other curve attributes become disabled and the curve is used exclusively for managing volatility details.

Note:

For FTP Volatility, both the Terms tab and Historical Rates tab are available with this option. Volatility curves are used in FTP to calculate the Rate Lock Option Costs.

For ALM Volatility, only the Historical Rates tab is available. After you have saved the Yield Curve, you cannot change the selected Volatility Curve.

ALM Volatility is used to evaluate embedded options for the Black 76 market valuation.

For more information, see the Cash Flow Engine Reference Guide.

Topics:

• Volatility Surface Summary Page
• Search Volatility Surface Rule
• Create Volatility Surface Rule
• View and Edit Volatility Surface Rule
• Copy Volatility Surface Rule
• Delete Volatility Surface Rule