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I am trying to analyze valuation methods for swaptions. Does anyone know of free example data for these OTC-traded securities?

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Thanks for the replies. I feared as much. – Owe Jessen Feb 11 '11 at 17:10
This is true for swap data generally; it's hard to get (hence the OTC part of it). – Shane Feb 11 '11 at 17:35
What I found was charted data on bloomberg.com, but it is a mystery to me, what this chart really displays, eg: link USD SWAPTION NORM 3M2Y - but with no further explanations. I suppose its some normalized option on 3m into 2y swaps, but without any information on the construction of the option part. Swap futures data are widely available, but I can't see a way to make the analogy work. – Owe Jessen Feb 11 '11 at 17:51
The series USSN0C2 is the atm vol (bps) for the normally distributed interest rate model. The Black or lognormal interest rate model vol is in USSV0C2. You can mine the rest of the atm grid by varying xxY in USS[VN]xxY. – Erik Olson Jun 20 '11 at 20:47

4 Answers

up vote 6 down vote accepted

I agree with Shane; I seriously doubt you're going to find publicly available swaption data for free. You might get some sample data with a textbook, or from a published journal article.

If you only need one example, you can find one in the documentation for the BermudanSwaption function in the RQuantLib R package.

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Thanks for the RQuantLib plug. – Dirk Eddelbuettel Feb 11 '11 at 17:32
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I will go out on a limb and say that this doesn't exist, unless you have a good relationship and can get some from your broker.

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up vote 6 down vote

Just for future reference, if you are student or academic, you can request for market data on http://www.quantnet.com/forum/. Many of our members are Wall Street practitioners and as a policy, they will provide such data to help with your research (hence students/academic only). I have been the conduit for many of such transaction in the past.

You will need to be precise about the type of data you need (series, ticker name, timeline, etc). These helpers are not going to waste their time if you have no clue on what data you need.

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Thanks for the pointer – Owe Jessen Feb 11 '11 at 19:23
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You can try begging for them, if you're an academician.

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Well, consulting economist... it's not really academia, but close to that, and far removed from actual trading. I wouldn't use it in the market. – Owe Jessen Feb 11 '11 at 17:12
If you're not academia, then I think it's almost hopeless to get them for free. – quant_dev Feb 11 '11 at 21:40

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