GENERATE_VOLSURF

This scheduled task generates selected volatility surfaces from a given pricing environment or a given market data group. You may need to add GENERATE_VOLSURF to the domain "scheduledTask".

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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GENERATE_SIMPLE_VOL – True or false. Default is false. If false, simple volatility surfaces are not generated. If true, simple volatility surfaces are generated.

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

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CHECK_QUOTES – Select the behavior of the scheduled task when quotes are missing:

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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.