CDS Index Option - Vol Surface Underlying

The CDS Index Option underlying can be used in construction of the CREDIT volatility surface.

CDS Index Configuration

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Create the CDS Index using from the Calypso Navigator.

1. CDS Index Volatility Surface Underlying

Create the underlying instruments in the Volatility Surface Underlying Window, CDSIndex Option panel.

Click New to create new volatility surface underlying.

Complete the details as described in the table below.

Click Save to create the underlying. They appear in the table below.

The system creates quotes like in the following example.

Fields Details

Field	Description
Strike	Enter the strike in percentage. The strike is displayed in the quote type defined in the index definition.
Maturity	Maturity date and time.
Option Type	Select the Option Type: RTR (right to sell credit protection) or RTR (right to buy credit protection).
Index	Click ... to select the CDS Index.
Id	Displays the system assigned unique identifier for the CDS Index volatility surface underlying.