Import of Market Data to valuate Caps/floors

Created by Erik Åkerlund, Modified on Thu, 29 Jun, 2023 at 4:27 PM by Teuvo Suoraniemi

In order to calculate Market Value for Caps/ Floors Treasury Systems needs market data.

Note! Note decimal separator needs to be a dot (.)

Requires Blacks (log normal) volatilities for the market valuation.


For ATM (At the money forward) volatilities the following columns are required. (Example file attached)

Name; Date; Currency; Period; Bid Rate; Ask Rate


In the system



Volatilities for a surface (for different levels the following columns are required. (Example file attached) 

Name; Date; Currency; Period; Bid Rate; Ask Rate; Bid Strike; Ask Strike

In the system



Was this article helpful?

That’s Great!

Thank you for your feedback

Sorry! We couldn't be helpful

Thank you for your feedback

Let us know how can we improve this article!

Select at least one of the reasons
CAPTCHA verification is required.

Feedback sent

We appreciate your effort and will try to fix the article