Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?

Question

can anybody tell me which models Bloomberg and Reuters ares using to derive implied volatility for interest derivatives with negative forward rates?

I know that Black-76 is the standard model, and that ICAP for example uses the displaced diffusion version of Black's model... but do Bloomberg and Reuters get their data from ICAP? Or do they also have internal models?

I recently started using Bloomberg and find it very confusing sometimes...

It would be very helpful if anybody had some literature about this issue or about the different models used by data providers. I would like to write a paper on this topic but the info is pretty limited... at least for somebody like me.

The only helpful article I found was this: d-fine - New volatility conventions in negative interest environment

Thank you!

Philipp

Answer 1

as per the paper , shifted logN , and Normal are both used by bloomberg

i am not sure where bbg / reuters get their data from