Spread Cap - Vol Surface Underlying

The Spread Cap underlying can be used in construction of the RATE volatility surfaces using the SpreadCap generator, and as calibration instruments.

Spread Cap Configuration

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Create the Rate Index Definition using from the Calypso Navigator.

1. Spread Cap Volatility Surface Underlying

Create the underlying instruments in the Volatility Surface Underlying Window, Spread Cap 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
Type	Cap or Floor.
Currency	Cap currency.
Index 1 / Index 2
Factor	Factor for the index.
Currency	Underlying currency for the index.
Indices	Select the name of the index.
Tenors	Tenor for the index.
Sources	Sources for the index.
Other Details
Maturity	Maturity for the spread cap.
Fwd Start	Start tenor.
Strike	Strike in percentage.
Relative ATM	Select for relative at-the-money.
Frequency	Frequency code such as QTR, WK, SA.
Date Roll	Type of date roll such as MOD_FOLLOWING, FOLLOWING.
Holidays	Calendar used for Holidays.
Create Multiple Rates / Create Multiple Expiries	You can click Create Multiple Rates and Create Multiple Expiries to create multiple instruments.
Id	Displays the system assigned unique identifier for the Spread Cap volatility surface underlying.