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INTR_VOLA_DF - Define Interest Rate Volatilities

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In this step, you define how to import interest rate volatilities via the external partner program of your datafeed provider.

Notation:

• Interest rate:,,AFA1Y

• Volatility type:,,031

• Term in days:,,365

Relevant datafeed notation (Example for Dow Jones, April 1997):

• Instrument name:,,[19173.AFA1Y]AFA

• Data source:,,PubRecords

• Instrument property:,,AFA_1Y

In Customizing you have to define the:

• Interest rate name AND the

• Volatility type via Market risk management -> Rate and price tables -> Define volatility type.

1. Define how you wish to import your interest rate volatilities via the external partner program and hence via the datafeed.
   

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