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I'm trying to calibrate the Lognormal Forward Libor Model to market data, in order to calculate market implied volatilities. However, I'm having some troubles finding any Cap/Floor historic price. Not to mention Swaps.

Does anyone know where I could find the price, maturity and strike of some actual Caps/Floors traded in the past few years?

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  • $\begingroup$ Probably Bloomberg and Reuters. Depending on your subscription, you my run out of luck with request for data that’s ‘too’ far in the past. Sometimes that may be as early as six months, though... $\endgroup$ – Kermittfrog Dec 27 '20 at 20:17
  • $\begingroup$ @Kermittfrog my college does not provide any license to neither Bloomberg nor Reuters, any chance I can find these data online? $\endgroup$ – Matteo Campagnoli Dec 28 '20 at 11:38
  • $\begingroup$ That’s odd. Do you have a partner institute whose library has a terminal? $\endgroup$ – Kermittfrog Dec 28 '20 at 12:58
  • $\begingroup$ I do actually, but due to Covid and Christmas the library is closed. However, it looks like my professor has uploaded on his site some dataset, I'll manage with those. Thanks a lot! $\endgroup$ – Matteo Campagnoli Dec 28 '20 at 13:17

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