Interest Rate Volatility
收藏Interest Rate Volatility 数据集概述
数据集提供商
Parameta Solutions
数据集描述
Interest rate volatility data packages from Parameta Solutions are primarily based on observations from regional interest rate options desks. Brokers are provided with tools to discover the best fitting set of SABR parameters given their market observations. They also calibrate the extensive at-the-money volatility grid based on their market observations and the surfaces we produce, even for illiquid markets are of high quality as they are bank-verified.
关键优势
- Observable, Indicative Rates: Receive independent and reliable prices which are bank-verified, enabling you to execute trades with confidence whilst risk managers can monitor, identify, measure, analyse, and mitigate market risk with reliable inputs.
- Comprehensive coverage: Access over 300,000+ records and 30+ currencies covering volatility surfaces, premiums and strikes for over 20 instrument types. Swaption skews are +/- 400bps* out, so that clients have access to pricing even for illiquid out-of-the-money tenors.
- Broad Analytics Coverage: Analytic fields supported include Spot and Forward Premiums, Forward Strikes, Lognormal Volatility, Normal Volatility (both annualised and daily), allowing you to choose the best view/strategy suitable for your trading style.
- Improved Model Calibration: Reduce time-consuming work sourcing underlying curves and the calculations required to turn data into a volatility surfaces.
覆盖范围
- Swaptions
- Cap/Floors
- Constant Maturity Swaps
- Currencies: USD, CAD, MXN, AUD, CNH, CNY, HKD, IDR, INR, JPY, KRW, MYR, NZD, PHP, SGD, THB*, TWD*, AED, CHF, CZK, DKK, EUR, GBP, HUF, ILS, NOK, PLN, SAR, SEK, TRY, ZAR *both deliverable and non-deliverable options are available
- Brands: TP, ICAP, Totan ICAP
预期工作流程
- Request Data Product via this listing
- Parameta Solutions will reach out and discuss your requirements
- Data will be shared via Snowflake Private Sharing
业务需求
Hedging Needs
Corporations and financial institutions can use our reliable pricing for price discovery to protect against interest rate fluctuations or hedge existing IRS positions.
Valuation Control
Valuation teams can use our reliable pricing as an addition source to perform independent price verification to ensure that their securities and inventory are held at fair value.
Model Calibration
Being able to create good quality data in terms of the forward curves, implied vols and premium will help our customers avoid a lot of the time-consuming work that goes into sourcing underlying curves and the calculations required to turn the data into a volatility surface.
使用示例
Retrieve Latest Volatility Surface for a Given Collateral Spread
sql SELECT PERIOD1 AS Tenor, STRIKE_PRC AS Strike, IMP_VOLT AS Lognormal_Volatility, PRC_VOLTY AS Normal_Volatility, PREMIUM AS Spot_Premium FROM COMMERCIAL_PACKAGES_PRD.TP_INTEREST_RATES.TP_INTEREST_RATE_OPTION_VOLATILITY WHERE GN_TXT16_2 = + 50 BP AND CCY1 = JPY AND ACTIV_DATE = CURRENT_DATE ORDER BY PERIOD1, STRIKE_PRC;
Compare Spot Premiums Across Collateral Levels for a Specific Tenor
sql SELECT GN_TXT16_2 AS Collateral_Spread, PREMIUM AS Spot_Premium, STRIKE_PRC AS Strike FROM COMMERCIAL_PACKAGES_PRD.TP_INTEREST_RATES.TP_INTEREST_RATE_OPTION_VOLATILITY WHERE PERIOD1 = 05Y AND CCY1 = JPY AND ACTIV_DATE = CURRENT_DATE ORDER BY Collateral_Spread;
Daily Summary of Volatility Curve
sql SELECT PERIOD1 AS Tenor, AVG(IMP_VOLT) AS Avg_Lognormal_Volatility, AVG(PRC_VOLTY) AS Avg_Normal_Volatility FROM COMMERCIAL_PACKAGES_PRD.TP_INTEREST_RATES.TP_INTEREST_RATE_OPTION_VOLATILITY WHERE CCY1 = JPY AND ACTIV_DATE = CURRENT_DATE GROUP BY PERIOD1 ORDER BY PERIOD1;
更多来自 Parameta Solutions 的数据集
- Fixed Income: Reliable fixed income coverage across a broad range of domiciles, currencies, and sub-asset types.
- Oil: Essential global oil pricing data, including Crude Oil, Middle distillates, Light ends, LPG, and Fuel Oil.
- Foreign Exchange: Authoritative and expansive coverage of global foreign exchange markets.
- Coal: Critical coal pricing data, including Coal, Iron Ore, and Iron Ore Options in EMEA and APAC.
- Money Markets: Critical daily money market data including repo, deposit, and certificates of deposit.
- Metals: Precious metals and battery metals pricing data for select markets across EMEA and APAC.
类别
Financial
联系方式
- Sales: snowflake-partnership@parametasolutions.com
- Support: operations@parametasolutions.com
文档
无具体文档链接
数据刷新频率
Near Real-time
时间覆盖范围
After April 1, 1993
地理覆盖范围
Global
云区域可用性
AWS
- Africa (Cape Town)
- Asia Pacific (Jakarta)
- Asia Pacific (Mumbai)
- Asia Pacific (Osaka)
- 45 More
法律条款
Offline
关于 Parameta Solutions
Parameta Solutions is part of the TP ICAP Group and the exclusive provider of TP ICAP market data. We are a leading financial technology company delivering market data, indices, and analytics solutions that empower the world’s financial professionals. Our unique multi-asset class data - spanning OTC, cash, and derivatives - helps clients seize opportunities in the world’s most opaque markets. With extensive coverage across interest rates, FX, money markets, fixed income, equities, commodities, and digital currencies, we provide the clarity and confidence needed to drive smarter trading, manage risk effectively, and stay ahead of regulatory demands.
