Anyone have a good place to find interest rate swaption implied volatility data? Does Bloomberg's python API allow access?
$\begingroup$
$\endgroup$
Add a comment
|
4 Answers
$\begingroup$
$\endgroup$
CME publishes its volatility surface daily on their FTP: CME Vol Surface.
Unfortunately I know of no open APIs that would get you historical data. I'd recommend looking at Barclays Live or Morgan Markets if you don't have access to Bloomberg (volatilty data quality is higher on these dealer sites anyways).
$\begingroup$
$\endgroup$
Bloomberg's VCUB screen provides swaption normalized vol for options with maturities from 1M - 25Yr for underlying swaps ranging from 1Yr - 30Yr for a large number of currencies. It also allows you to change the tenor of the Index and the strikes. You can export the data and tickers to excel.
$\begingroup$
$\endgroup$
I am using FinPricing data service API for both swaption implied volatility surfaces and cap implied volatility surfaces. It supports both C# and Java. They use SABR model for calibration and generate so fine-granular data grids that users can use linear interpolation directly without arbitrage. Data are updated every day.
$\begingroup$
$\endgroup$
The BBerg NSV screens are a good place to start. They present atmf implied vols for a variety of developed markets in a cube. Each element of the cube has ticker. These tickers move throughout the day in response to trading activity. The tickers should all be available via the BBerg data products which has an assortment of API's depending on what flavor of code you are using on your end.
