Calypso Learning Services

This Core Course eLearning module describes how volatility surfaces are constructed and generated for pricing and valuing non-linear (option-based) trades for IRD with Calypso. As an important component of configuring volatility surfaces, we will also show how to generate the underlying instruments from which each surface is constructed (each volatility surface created will require several underlying instruments to be defined).

Calypso provides the necessary applications and mathematical analytics that allow a user to set up volatility surfaces for a range of interest rates, equity, and commodity product types (options). Many of the processes are similar, however; the following sections of this module will describe how to create a volatility surface that can be used to value IRD products such as caps and swaptions.