7
$\begingroup$

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

Improve this question
$\endgroup$
3
  • $\begingroup$ This is true for swap data generally; it's hard to get (hence the OTC part of it). $\endgroup$
    – Shane
    Feb 11, 2011 at 17:35
  • $\begingroup$ 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. $\endgroup$
    – Owe Jessen
    Feb 11, 2011 at 17:51
  • $\begingroup$ 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. $\endgroup$
    – Erik Olson
    Jun 20, 2011 at 20:47

5 Answers 5

Reset to default
7
$\begingroup$

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.

Improve this answer
$\endgroup$
0
7
$\begingroup$

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.

Improve this answer
$\endgroup$
6
$\begingroup$

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.

Improve this answer
$\endgroup$
0
1
$\begingroup$

I think barchart just released a free market data api, but I doubt it has what your looking for.... freemarketdataapi.barchartondemand.com

Improve this answer
$\endgroup$
3
  • $\begingroup$ You should put such an answer as a comment, please convert it $\endgroup$
    – lehalle
    Jun 3, 2015 at 22:48
  • $\begingroup$ Is that data on swaptions? $\endgroup$
    – Bob Jansen ♦
    Jun 4, 2015 at 8:07
  • $\begingroup$ No, I don't think so... You should go to a local university and find out if you can use their Bloomberg Terminal and you can pull the data from there in an excel spreadsheet and clean it later. $\endgroup$
    – Jack Anderson
    Jun 4, 2015 at 15:40
0
$\begingroup$

You can try begging for them, if you're an academician.

Improve this answer
$\endgroup$
2
  • $\begingroup$ 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. $\endgroup$
    – Owe Jessen
    Feb 11, 2011 at 17:12
  • $\begingroup$ If you're not academia, then I think it's almost hopeless to get them for free. $\endgroup$
    – quant_dev
    Feb 11, 2011 at 21:40

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.