Calibration basket for step (1) of the two-step approach.

This table presents the calibration basket for step (1) of the two-step approach. Based on the volatility with swap maturity of 10Y, the longest swap maturity in the market quote, the basket comprises the swaption volatility ratio with swap maturity of 1Y, and the shortest swap maturity on the market. In our test case, the non-call period is 1-year; thus, we use an option expiry from 1Y to 10Y. Moreover, we include the ratio of volatility with swap maturity of 5Y in the basket.

本表展示了两步法中的第一步校准篮。该篮子基于10年期掉期到期日的波动率，选取市场报价中掉期到期日最长的一项，并包含1年期掉期到期日的掉期期权波动率比以及市场中最短的掉期到期日。在我们的测试案例中，非回售期为1年；因此，我们选取从1年期至10年期的期权到期日。此外，篮子中还包含了5年期掉期到期日的波动率比。