IHS Markit datasets available via the Data Lake
Constant maturity swap correlation for 4 main currencies (EUR, GBP, JPY, USD) covering a large set of tenor pairs and maturities.
REST, Python, S3 Proxy
- Interest Rates
- Constant Maturity Swap
- CMS rate
- CMS Spread Option
- CMS Swap
- CMS Correlation
- CMS Swap Correlation
|Dataset Name||Dataset Description||Data Format||Publishing Frequency|
|Interest Rate CMS Spread Option Correlation||A constant-maturity swap (CMS) rate is the break-even swap rate on a standard swap of a fixed maturity, e.g. 10 years or 30 years. Various derivatives are linked to CMS rates; CMS Spread options are a relatively liquid example, where the payoff depends on the joint distribution of the underlying CMS swap rates. The correlation between the underlying CMS swap rates is for this reason a key element, used in the pricing process. The IHS Markit OTC Derivatives Data product offers a CMS correlation service which provides the implied correlations between CMS rates with different underlying tenors. CMS correlation is published at Month-End for EUR, USD, GBP, and JPY, with tenors covering 1Y, 2Y, 5Y, 10Y, 20Y and 30Y.||CSV||Monthly|
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