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
