Treasury Interest Volatilities Import
The Treasury Interest Volatilities loader uses only a single set of header columns.
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 | TRUE | FALSE | date | |
| Currency | Currency | TRUE | FALSE | char - 3 | curreny iso codes |
| Days | Tenors/Maturity of the curve in days | TRUE | FALSE | integer | |
| Period | Tenors/Maturity of the curve in period | FALSE | FALSE | string | |
| Distribution | Distribution of the interest volatility curve | TRUE | FALSE | string | Log-Normal, Normal |
| Strike Type | Type of the given Strike/Volatility. Strike in % cannot be provided for At the Money Types | TRUE | FALSE | string | At the Money, Absolute, Relative |
| Strike % | Strike in percent | FALSE | FALSE | decimal | |
| Volatility % | Volatility of the interest rate in percentage | TRUE | FALSE | decimal | |
| Volatility bp | TRUE | FALSE | decimal |