Treasury Interest Volatilities Import
Overview
The Treasury Interest Volatilities Import process reads files from ./Incoming/InterestVolatilities in the SFTP. These files will be moved to the archive folder located at ./Incoming/Archive/InterestVolatilities before being processed in alphanumeric order.
|
Column Name |
Description |
Req'd |
Unique |
Type |
Allowable Values |
|---|---|---|---|---|---|
|
Rate Date |
Date for which the interest volatility is valid |
Yes |
date |
||
|
Currency |
Currency |
Yes |
char - 3 |
curreny iso codes |
|
|
Days |
Tenors/Maturity of the curve in days |
Yes |
integer |
||
|
Period |
Tenors/Maturity of the curve in period |
string |
|||
|
Distribution |
Distribution of the interest volatility curve |
Yes |
string |
Log-Normal, Normal |
|
|
Strike Type |
Type of the given Strike/Volatility. Strike in % cannot be provided for At the Money Types |
Yes |
string |
At the Money, Absolute, Relative |
|
|
Strike % |
Strike in percent |
|
decimal |
||
|
Volatility % |
Volatility of the interest rate in percentage |
Yes |
decimal |
||
|
Volatility bp |
Yes |
decimal |