GENERATE_FXVOLSURF

This scheduled task automates the FX volatility surface rolling. You can set the rolling to occur at a specific time, such as on the hour. The scheduled task updates the trading days, recalculates the calendar ATM volatilities, and regenerate/saves the surface.

Select the Pricing Environment. The scheduled task regenerates the FX volatility surfaces defined in the pricer configuration associated with the pricing environment, or for a given market data group.

Set the Execution Time and Valuation Time. The Valuation Time that you set in the scheduled task is the start time for the trading day calculations.

You can use the scheduled task PROP_RATE_1BUSDAY to roll the quotes which are not liquid prior to rolling the volatility surfaces.

Task Attributes

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Refresh_Latest_Quotes – True or false. If set to false, the system will rollover the FX Vol Surface, retain the Quotes on the Quotes tab, and regenerate/re-save the FX Vol Surface with the new Date/Time Stamp. If set to true, the system will pick up the latest Quotes available prior to the Valuation Time of the Scheduled Task, and regenerate/re-save the FX Vol Surface with the new Date/Time Stamp.

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Market Data Group – You can select a market data group to generate the FX Vol Surfaces defined in that group only. Market Data Groups are created from the Calypso Navigator under , Group Access panel.

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CHECK_QUOTES – It is only taken into account when Refresh_Latest_Quotes is true and there are missing quotes. You can select:

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FAILS_IF_MISSING: The scheduled task will fail if there is a missing quote. The new instance of the surface will not be created (default behavior).

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ACCEPT_EMPTY: The scheduled task will not fail if there is a missing quote and it will use empty values for missing quotes. There will be a trace for missing quotes in the log.

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COPY_OLD: The scheduled task will not fail if there is a missing quote and it will roll the latest known quotes. There will be a trace for missing quotes in the log.