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Interest Rate Cap Floor Volatility

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Implied volatility surfaces for Interest Rate Cap/Floor and Caplet/Floorlet for approximately 15 currencies, sampled for a wide range of strikes. The volatility surface is calibrated by blending interdealer broker quotes with skew data sourced by the major market makers. The volatility cube is available up to 30Y for the most liquid currencies. Data available for 10+ intraday snaps.

Industry Domain:


Financial Markets

Publisher:


IHS Markit

Content Type:


Structured

Access/Delivery Methods:


REST, Python, S3 Proxy

Keywords

  • Interest Rates
  • IR
  • Cap
  • Floor
  • ATM strike
  • Strike
  • Volatility
  • Lognormal volatility
  • Normal volatility
  • Implied Volatility
  • Vol
  • Caplet
  • Floorlet
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Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
Interest Rate Cap Floor VolatilityInterest Rate Caplets/Floorlets are call/put options on Interest Rate Fixings, typically IBOR rates. Caps/Floors are strips of caplets/floorlets with the same strike. Interest Rate Caps/Floors are the traded instrument, whereas the individual caplets/floorlets are typically not. The IHS Markit OTC Derivatives Data product publishes the cap/floor implied lognormal and normal volatilities for 15 different currencies. Volatility skew is published for cap/floor with yearly tenors, with max tenor up to 20Y or 30Y depending on the currency. Market conventions quote caps in terms of absolute strikes, however the volatility can be sampled in both absolute and relative terms with respect to the ATM forward. CapFloor volatility surfaces are published for 11 snaps throughout the day.CSVWeekday
Interest Rate Caplet Floorlet VolatilityInterest Rate Caplets/Floorlets are call/put options on Interest Rate Fixings, typically IBOR rates. Individual caplets/floorlets are not liquidly tradable, but they represent an important financial derivative involved in the pricing of more complex and exotic instruments. The IHS Markit OTC Derivatives Data product publishes caplet/floorlet implied lognormal and normal volatilities for 15 different currencies. The volatilities are published for skew sampled in relative terms with respect to the ATM forward. Caplet/Floorlet volatility surfaces are published for 11 snaps throughout the day.CSVWeekday
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