1945-client-theos
| # | Message Name | Description |
|---|---|---|
| 1945 | ClientBeta | |
| 1950 | SpdrOptTheoRecord | SpdrOptTheoRecords can be used to override theoretical volatilities for specific strikes when using SpdrTheoExpSurface records. |
| 1955 | SpdrTheoExp2PtCurve | SpdrTheoExp2PtCurve records are used along side SpdrTheoExpSurface records to provide a complete x/y specification of a theoretical skew curve. Spline interpolation is used for values between x/y points |
| 1960 | SpdrTheoExpSurface | SpdrTheoExpSurface records reprent a client theoretical volatility surface for a ExpiryKey (ticker + expiration). These records can either directly specify parameters to be used in a parameterized surface function or can link to a record (eg. SpdrTheoExp2PtCurve) containing x/y points sampling a client constructed curve. Alternatively, they can specify that a SpiderRock implied skew curve should be used along with client supplied atm volatilities. Surface dynamics can be specified in multiple ways with these records and a number of pricing parameter overrides are also available. See the technical note on client supplied theoretical surfaces for more details. |