Bond Option - Vol Surface Underlying

Bond option underlying instruments are used to create Bond Option volatility surfaces. They are created for ATM volatilities.

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Select the details as described in the table below.

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Set the strike to 0.

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Then click Save.

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You can change any field and click Save As New to create additional underlying instruments.

 

The system creates quotes like: "BondOTC.<currency>.<option type>.<expiry>.<bond quote name>", type = PriceVol.

Example "BondOTC.USD.C.2W.UST.11-15-2028.5.25000.0.0"

 

Fields Details

Field	Description
Currency	Select the currency of the underlying bond.
Exercise Type	Select the exercise type (American or European).
Strike	Enter the strike for the bond option.
Expiry Date	Select the expiry date of the option.
Option Type	Select the option type (PUT or CALL).
Underlying	Click ... to select the underling bond product in the Product Chooser Window.
Id	Displays the system assigned unique identifier for the Bond Option volatility surface underlying.