FX Volatility Surface for the Precious Metal

From the Calypso Navigator, navigate to Market Data > Volatilities > FX Volatility Surface (menu action marketdata.FXVolatilitySurfaceWindow).

 

Precious Metals Volatility Surface Quick Reference

Configuration Requirements

- Currency and Currency Pair Definition – From the Calypso Navigator, navigate to Configuration > Definitions > Currency Definitions.

Surface Generation

1. Click New to start a new surface.

2. Definition Panel — select the following to define the surface: precious metal currency, quoting currency, surface type, the Derived checkbox should NOT be checked, pricing environment.

3. Offsets Panel — select the expiration tenors or dates and the delta values.

4. Points Panel — click Generate to generate the points.

5. Click Save, enter a name for the surface, and click OK.

Pricer Configuration

A Precious Metals volatility surface can be associated with a pricing environment under the FX panel of the pricer configuration.

 

1. Definition Panel

Click New to start a new volatility surface.

Select the following to define the surface: precious metal currency, quoting currency, surface type, the Derived checkbox should NOT be checked, pricing environment.

 

2. Offsets Panel

Click the Offsets tab.

» Click ... to select expiration tenors, or enter a Specific Expiration date and click Add.
» Enter delta values and click Add.

 

3. Points Panel

Click the Points tab. Click Generate to generate the points.

 

4. Save Surface

Click Save in the bottom of the surface window. Enter a name for the surface, and click OK.

 

5. Pricer Configuration

From the Calypso Navigator, navigate to Market Data > Pricing Environment > Pricer Configuration.

Click Load, and select a pricer configuration.

Click the FX tab.

» Click ... to select the surface.
» Select the primary and quoting currencies, product type or ANY, extended type or ANY, subtype or ANY.
» Click ... to select the surface.
» Select the surface in the Selection window and click Load to display the surface name in the pricer configuration.
» Click Add to add the surface to the list.
» Click Save to save the pricer configuration.

 Ⓘ   [NOTE: The FX curve for the precious metal also needs to be registered in the pricer configuration.]