18.5 BSP Volatility Codes

This feature allows you to set a static shock percentage (positive or negative) to be applied to BSP Volatilities in a Forecast Rates window.

For more information, see the Cash Flow Engine ReferenceGuide.

This pane displays the list of Interest Rate Codes that are defined as BSP Volatility Surface. To view or edit an BSP Volatility, following are the prerequisites:

• Interest Rate as an BSP Volatility Surface.
• Have a matching currency to the Forecast Rates Reporting Currency

For more information, see the Interest Rates Details section.

Following is an example to define the Shock Percentage for BSP Volatility Surface. These steps can be repeated for each new scenario.

1. From Currency Codes, select a Currency, for example, USD: US Dollar. Only BSP Volatility Surfaces of the same currency will be available.
2. In the BSP Volatility block, select a Vol Surface.
3. Enter shock percentage for respective BSP Volatility. You can enter positive or negative values here (between -99.9999 and 1,000).
4. Click Apply. A confirmation box is displayed.
5. To view the results of the shock, select an BSP Volatility, and then click View.
6. To remove the shock percentage, click Un-Define.