The Volatility Skew Manager allows users to update their entire volatility term structure at once by applying a formula to the entire structure based on the structure’s relationship with a selected base month. This widget will allow a user to submit adjustments the baseline skew that will in turn create adjustments to all selected skews. Users will have the ability to define their adjustments to be based on a parallel shift or have the choice between two different correlation formulas.
The dashboard grid component also serves a dual purpose by providing users with a more efficient method of updating individual instrument months as well. If
end users wish to apply changes to several months only instead of a transformation of the entire structure, they will find that it is much easier to both input an compare these changes in a tabular grid versus the modeling screen within Metro.
Note, this widget is not meant to replace usage of the modeling screen, but instead extend by simplifying the input across many months at once or applying
transformations to the entire term structure.
VolatilitySkewManager_UserGuide.pdf(PDF 696115 bytes)
Play the video below to see the widget or algo in action. Metro NOW gives widgets the ability to work in a similar behavior across several asset classes or exchanges. This keeps usability consistent and promotes high application stability.
Remember that in Metro NOW, dashboards and widgets can be utilized in both OnRamp and Metro clients.