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.