Swaption Suite

Key Dates[-]

Today (EST)	-
Last Business Day	-
Spot Date (T+2)	-

Holiday Schedule[-]

Date	Day	Type	Holiday	Source

USD SOFR IRS Conventions[-]

Parameter	Value

Curve Settings[-]

Interpolation Method

Benchmark Rates

SOFR-FF [-]

Tenor	End Date	Par Rate (%)	DV01/MM ($)	DF(SOFR)	DF(FF)	SOFR-FF

Par Rate Curve[-]

1D Forward Rates[-]

Discount Factor Curve[-]

Par Rates Input[-]

Format: one per line, "tenor rate" (e.g. "10y 3.6395"). Loaded from config/swapcurve.json.

Live Vols (bps/annum) [-]

Source: -

Bid FP	-	Offer FP
Fwd Rate	NVol	Vol CoD
Fwd CoD	Str FP	-

Bid>Mid: green | Offer<Mid: red

Vol Surface 3D STOP ⤢ expand

Bloomberg Vols [+]

Source:

Normal Vols (USSNA)

Forward Premiums (USSFA)

Last Close [-]

Close Vols (bps/annum)

Close Forward Rates (%)

Close Premiums (fp) ref

Surface Type[-]

Vol Surface Mode:

SABR Parameters[-]

Propagate Alpha Propagate Beta Propagate Rho Propagate Nu

Bump by: Set to:

Alpha (bps) — read-only, edit in Vol Surface

Beta (0–1)

Rho (-1 to 1)

Nu (vol-of-vol)

Calibration[+]

Strike Offset (bps)

Bump by: Set to:

Risk Reversal

Strangle (vol diff vs ATM)

Payer (ATM + offset)

Receiver (ATM - offset)

Pricer

[-]

Show:

IOI Entry[-]

Trader

Expiry

Tenor

Type

Strike

Bid FP

Offer FP

OTHER PACKAGE LEGS No locks: Bid/Offer are total signed package FP.

Leg	Weight	Expiry	Tail	Type	Strike (ATM / +/-bp / rate)	Lock	Lock FP

IOI Feed

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TRADE BLOTTER

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	Time	Date	CP	CP 2	Trader	Expiry	Tenor	Type	Strike	Side	Level FP	Size MM	By

Instructions[-]

IDENTIFY USER

BOOK TRADE

SWAPTION SUITE

IDENTIFY USER

BOOK TRADE

SWAPTION SUITE

Pricer Settings