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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
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Data Set
| Dataset Name | Dataset Description | Data Format | Publishing Frequency |
|---|---|---|---|
| Interest Rate Swaption Volatility | Interest 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. | CSV | Weekday |
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