Volatility Surface Underlying Overview
You can set up underlying instruments before creating the volatility surface using Configuration > Market Data > Volatility Surface Underlyings from the Calypso Navigator, or while you are creating the volatility surface. When you save an underlying instrument, the system automatically creates a quote name for that instrument.
To use the instruments in building the surface, check “Derived” in the volatility surface window. The window then displays the Underlyings panel where you can select the underlying instruments.
The following types of underlying instruments are available.
Bond Option - Vol Surface Underlying
CDS Index Option - Vol Surface Underlying
Commodity Option - Vol Surface Underlying
Exchange Traded Option - Vol Surface Underlying
Future Option - Vol Surface Underlying
FX Option - Vol Surface Underlying
OTC Equity Option - Vol Surface Underlying
Spread Cap - Vol Surface Underlying
Swaption - Vol Surface Underlying
Warrant - Vol Surface Underlying
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