Swaption implied volatility surface Data
A dataset by FinPricing
Pricing available upon request
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| Expirty | Tenor | Strike | SampleHead | |
|---|---|---|---|---|
| 1 | 10 years | 20 years | 100 | Value |
| 2 | 10 years | 20 years | 100 | Value |
Volume
| 27 million | records |
Use Cases
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
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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