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Interest Rate Swaption Volatility

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Implied Interest Rate swaption volatility surfaces for over 20 currencies. The volatility surface is calibrated by blending interdealer brokers quotes with skew data sourced by the major market makers. The volatility cube covers up to the 30y30Y instrument for the most liquid currencies, and it is sampled for a wide range of strikes. 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
  • Swaptions
  • ATM strike
  • Cash settlement
  • Physical settlement
  • Swap
  • Strike
  • Swaption Volatility
  • Volatility
  • Lognormal volatility
  • Normal volatility
Interested in this data? Download free data samples, dictionaries and documentation

Data Set

Dataset NameDataset DescriptionData FormatPublishing Frequency
Interest Rate Swaption VolatilityInterest Rate Swaptions are options on swaps, and are one of the most liquid IR derivatives. The IHS Markit OTC Derivatives Data product publishes the implied normal and lognormal volatilities for 24+ currencies and covers a large set of expiries/tenors. Skew can be sampled both in terms of absolute strikes and relative to the ATM forward. Swaption volatility surfaces are published for 11 snaps throughout the day.CSVWeekday
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