Reply To: Interpolated Volatility Output ( Vol Lookup Keys)

Israr Ahmed

There are three different issues here.
(1) Can the Volatility Lookup Key be trusted to always work. The answer is NO. An example is where the VOL row gridpoints is Option Expiry Date Seq and PRICE gridpoints are LOM. This is not a problem from a Deal Pricing point of view. But the Volatility Lookup Key gets it wrong [ See tab “VOL_LOOKUP_KEY” on the attached spreadsheet ] as it ends up using incorrect Price.

(2) Because of (1) above … the safest alternative way to extract out Interpolated Vols was I found to book a strip of ComOptFuts at strike intervals that cover the range you want to look at. In your case you’re already doing this using a multi-legged option.

(3) This particular post was on a different unrelated issue – which is how to EXPORT out the Vol Surface’s INPUT at the level of the INPUT. It sounds as if it should be easy – but so far haven’t seen how to export out the INPUT ( which would be the Input Vols at each Gpt Row and Delta Collumn )

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