ATM Shift


Key ATM Shift in
Vanilla IRS refers to an optional number representing the shift that must be added on the currently valid at-the-money rate in order to reach the rate at which the Fxd Rate of this swap should be set during valuation.
Note, this number is used only if
Is ATM = true
For example, if equal to 0.01, during valuation the swap is considered to have a rate set to atm + 0.01, where atm equals the at-the-money rate determined dynamically according to the prevailing market at the time the valuation takes place.