Warrant - Vol Surface Underlying

The Warrant underlying can be used in construction of the Equity volatility surface with the Spline generator.

Underlying Configuration

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Create equity products using from the Calypso Navigator.

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Create equity indices using from the Calypso Navigator.

1. Warrant Volatility Surface Underlying

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

You can select the Browse tab to load existing underlying instruments.

Otherwise, select the Preview tab to create new underlying instruments.

Enter the parameters to define the warrant, the fields are described below.

Click

to generate the underlying instruments.

Then select rows and click

to save the selected rows, or click

to save all rows.

The system creates quotes like in the following example.

Fields Details

Fields	Description
Currency	Select the warrant currency.
Option Type	Select PUT, CALL, or BOTH.
Exercise Type	Select the type of exercise: American or European.
Underlying	Click ... to select the underlying product.
Ratio from Ratio to	Select the quantity of warrant to exercise (Ratio from) to obtain a quantity of underlying (Ratio to).
fixed FX Rate	If the warrant currency is different from the underlying currency, enter an FX rate. The warrant will be generated as a quanto using this FX rate.
Strike Type	Select the strike type: Absolute or Relative %.
Strike	Click ... and enter a list or range of strike amounts.
Expiry Tenor Exp. Date Rule	Click ... to select a set of expiry tenors, or select a date rule to generate the tenors.
Val Date	Enter the generation start date.
Nb Exp. Dates	Enter the number of expiry dates to be generated.