I'm somewhat new to interest rate models and am interested in obtaining ATM cap prices and volatilities for calibration purposes (Black-Derman-Toy, Hull-White, etc.). Ideally, this would enable me to generate implied volatilities for different interest rate tenors over a relatively long time horizon (5-10 yrs.). I do not have access to Bloomberg (e.g. VCUB) and have spent time searching for alternative sources online to no avail.

Are there any other places where relatively up-to-date ATM cap price/strike/volatility data can be found? Preferably for free, as I am just working on projects independently.

Thanks so much!

  • 3
    $\begingroup$ Talk to sales at market data poviders like BGC Fenics MD fenicsmd.com and TP ICAP Data tpicap.com/dataanalytics , give them a sob story, they might give you free access for a few months if they feel charitable. $\endgroup$ Mar 26 at 2:26
  • $\begingroup$ Another source that might get you somewhere: Some university libraries / faculties have Bloomberg or Reuters terminals; some even have swaption / capfloor data. Maybe you know someone who knows someone ..... $\endgroup$ Mar 26 at 7:05

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