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Swaption implied volatility surface Data

A dataset by FinPricing
Pricing available upon request Get a Quote
Expirty Tenor Strike SampleHead
1 10 years 20 years 100 Value
2 10 years 20 years 100 Value
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Swaption implied volatility surface Data

Volume

27 million records

Use Cases

Risk Management Asset Management
Pricing Analytics
Investment Management
Investment Banking

Geography

Asia (1)
Japan
Europe (51)
Albania
Andorra
Austria
Belarus
Belgium
Bosnia and Herzegovina
Bulgaria
Croatia
Czech Republic
Denmark
Estonia
Faroe Islands
Finland
France
Germany
Gibraltar
Greece
Guernsey
Holy See
Hungary
Iceland
Ireland
Isle of Man
Italy
Jersey
Latvia
Liechtenstein
Lithuania
Luxembourg
Macedonia (the former Yugoslav Republic of)
Malta
Moldova (Republic of)
Monaco
Montenegro
Netherlands
Norway
Poland
Portugal
Romania
Russian Federation
San Marino
Serbia
Slovakia
Slovenia
Spain
Svalbard and Jan Mayen
Sweden
Switzerland
Ukraine
United Kingdom
Åland Islands
North America (2)
Canada
United States of America
Oceania (1)
Australia

Categories

Data Attributes

Attribute Example Description
Expirty 10 years The expiration of option
Tenor 20 years The tenor of underlying swap
Strike 100 the relative strike of option

History

5 years of history data

Product Description

FinPricing uses SABR model to construct swaption volatility surfaces that is very granular so that users can directly apply linear interpolation without arbitrage.

Suitable Company Sizes

Small Business
Medium-sized Business
Enterprise

Pricing

Free sample available
License Starts at
One-off purchase Not available
Monthly license Not available
Yearly license Available
Usage-based Not available

Quality

Self-reported by the provider
match market quotes

Delivery

Methods
S3 Bucket
SFTP
Email
UI Export
REST API
SOAP API
Streaming API
Feed API
Frequency
secondly
minutely
hourly
daily
weekly
monthly
quarterly
yearly
real-time
on-demand
Format
.bin
.json
.xml
.csv
.xls
.sql
.txt

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