The Name field contains the name of the volatility skew as it will be recorded
in the database if you choose to save it. You can name a skew anything you
want, but we recommend you use the default names because they adhere to a
convention that provides information about how the skew is defined. Notice that
changing the rollover and extend toggles changes the skew name. These fields in fact
change the behavior of the skewthat is, what the skew will do when you apply
it. The naming conventions are designed to help you quickly identify skew
behavior by looking at the skew name.
The nuances of skew definitions are particularly evident in the
The following table shows how the naming convention works. Given the symbol
US, the skew creates the default name VS_USU5 (wherein U would be the current
expiration month code). Toggling rollover and extend on and off changes the name
as follows.
The Skew Name
| Toggle
| Result
|
| Both Rollover and Extend off
| VS_USU5
|
| Rollover on
| VS_US#
|
| Extend on
| VS_USU5#
|
| both Rollover and Extend on
| VS_US##
|