Future Option - Vol Surface Underlying

The Future Option underlying can be used in construction of the MMFUTURE and RATE volatility surface.

Future Option Configuration

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Create the Future Contract and Futures using from the Calypso Navigator.

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Create the Future Options Contract and Future Options using from the Calypso Navigator.

1. Future Option Volatility Surface Underlying

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

Click New to create new volatility surface underlying.

Select the currency and exchange. The application then loads the available contracts.

Select the contract, expiry, enter the strike, and select the option type.

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
Curr	Select the currency of the underlying.
Exch	Select the exchange where the contract is listed. The application then loads the available contracts.
Contract	Select the Future Option contract.
Val Date	Valuation date. It defaults to the current date.
Expiry	Select the expiry for the option.
Strike	Enter the strike.
Relative ATM	Select if the strike is relative at-the-money.
Option Type	Select the option type: CALL or PUT.
Fut Contract	Displays the details of the future contract.
Fut Underlying	Displays the details of the contract's underlying product.
Id	Displays the system assigned unique identifier for the Future Option volatility surface underlying.