Create a Volatility Curve

Security Note: You need the Allow the user to maintain volatility curves security right in the Marketing user group security rights group for this activity.

Activity Steps

Open the Volatility Curves screen.
To create a volatility curve:
1. Right-click in the Volatility Curves table and select New from the menu.
  Table of volatility curves.
2. Update the name of the Volatility Curve if required.
3. Complete the following fields.
  - Market—Select from the markets defined in the Market/Commodity Editor.
  - Commodities—Select from the commodities defined in the Market/Commodity Editor.
  - Unit—Unit of measure in which the volatility curve values are entered. Set to percentage (%).
  - Entry Frequency—Select from Day, Week, Month and Quarter. This field is read-only if any values have been entered for the volatility curve.
4. If the entry frequency is Day, Week or Month, select the Calendars to determine non-working days if required. Select from the calendars defined in the Calendar Editor. If multiple calendars are selected:
  - All calendars are used to determine non-working days.
  - Only the first calendar is used to determine the start of week day or start of month date.
  This field is read-only if any values have been entered for the volatility curve.
To enter values for a volatility curve:
1. Select the curve in the Volatility Curves table.
2. Select the Start Date and End Date.
  The Effective Start dates display for the selected date range and the volatility curve's entry frequency.
3. Enter the Value for each effective start date.
  Superseded (older) values are useful only as an historical record. Only a single value is effective for a given date and the market and commodities of the volatility curve.
4. To reuse a value for other dates, right-click the Value and select Copy To Dates With No Value from the menu.
To delete a volatility curve, right-click the curve in the Volatility Curves table and select Delete from the menu.
Click Save.