YieldVolatilities

[Othmane-Ch]

I m building a bond option trade. The goal is to calculate the NPV.

As it was mentionned in the userguide , we can use referencedata.xml to build our bondoption .

I have defined the yield volatility , but I don't understand what does the ATM vol means?

This is the log file after I requested the npv calculation on a bond option:

  <YieldVolatilities>
    <YieldVolatility>
      <CurveId>BOND_YIELD_EUR</CurveId>
      <CurveDescription>Default curve derived as bond yield curve over Eonia</CurveDescription>
      <Qualifier>BANK</Qualifier>
      <Currency>EUR</Currency>
      <Type>Benchmark</Type>
      <Pillars>1Y</Pillars>
      <SpotLag>0</SpotLag>
      <Calendar>TARGET</Calendar>
      <VolatilityType>Lognormal</VolatilityType>
      <Extrapolation>Flat</Extrapolation>
      <DayCounter>Actual/365 (Fixed)</DayCounter>
      <Calendar>TARGET</Calendar>
      <BusinessDayConvention>ModifiedFollowing</BusinessDayConvention>
      <OptionTenors>
        1M,3M,6M
      </OptionTenors>
      <BondTenors>
        1Y,2Y
      </BondTenors>
    </YieldVolatility>
  </YieldVolatilities>

[pcaspers]

Yield Volatilities can only be defined in a strike-independent manner at the moment, i.e. the ATM vol slice is the only one that is permitted at the moment.

Can you provide the actual error you see, you only posted the curve configuration above.