1. Asset Liability Management Cloud User Guide
  2. Business Rules Administration
  3. Reference Data
  4. Volatility Surface

5.1.6 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.

Volatility Surface Rule Summary

This page is the gateway to all Volatility Surface Rules and related functionality. You can navigate to other pages relating to Volatility Surface Rules from this point.

Figure 5-26 Volatility Surface Rule Summary


Volatility Surface Rule Summary

Search Volatility Surface Rule

Prerequisites: Predefined Volatility Surface Rule

To search for a Volatility Surface Rule:

Click Search after entering the search criteria. The search results are displayed in a table containing all the Volatility Surface Rules that meet the search criteria.

Or

An alternative method to search a Volatility Surface Rule is through the Field Search option. This is an inline wildcard UI search that allows you to enter a search value (such as code, name, etc.) partially or fully. Rows that contain the string you are searching for are fetched and displayed in the Volatility Surface Rule Summary. You can enter the Code, Name, Currencyand Description, of the Volatility Surface Rule and click Search.

The Volatility Surface Rule Summary displays the following information:

Add: Click the Add icon on the page header to build a new Volatility Surface Rule.

Multiple Delete: Enables you to select and delete one or multiple rules in the table simultaneously.

  • Name: The Volatility Surface Rule's short name.
  • Currency: The Volatility Surface Rule's currency.
  • Created By:The Name of the user who created the Volatility Surface.
  • Created Date: The Date and Time at which the Volatility Surface was created.
  • Last Modified By: The user who last modified the Volatility Surface Rule.
  • Last Modified Date: The Date and Time when the Volatility Surface Rule was last modified.
  • Access Type: The access type of the rule. It can be Read-Only or Read/Write.
  • Action: Click this icon to view a list of actions that you can perform on the Volatility Surface Rule.
    • View/Edit: Based on the user privilege assigned, you can either only view or edit existing Volatility Surface Rules. To edit a rule, you must have Read/Write privilege.
    • Save As: You can reuse a Volatility Surface Rule by saving it under a new name thus saving time and effort in entering data multiple times; it also leads to reduced data entry errors.
    • Delete: You can delete Volatility Surface Rules that you no longer require. Note that only Volatility Surface Rule owners and those with Read/Write privileges can delete Volatility Surface Rules. A Volatility Surface Rule that has a dependency cannot be deleted. A rule cannot be retrieved after deletion.
    • Dependency Check: You can perform a dependency check to know where a particular Volatility Surface Rule has been used. Before deleting a rule, it is always a good practice to do a dependency check to ensure you are not deleting Volatility Surface Rules that have dependencies. A report of all rules that utilize the selected Volatility Surface Rule is generated.

Also See: