Import of Market Data to valuate Caps/floors

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