This is my first question here and I hope that my question is appropriate.

I have some data about swaptions that are from the bloomberg terminal and basically I am performing a risk-neutral calibration of the Hull-White model on these swaptions. However I don't know if the premiums quoted on the bloomberg terminal are linked to receiver swaptions or payer swaptions.

I don't know if it can help, but the type of the ticker are "EUSPXY" where X is the maturity of the option while Y is the maturity of the underlying swap (example : EUSP0101).

It seems like some details are not shown for those swaptions. For example I had to check manually that the notional was actually 10 000 000, which is the default value.


1 Answer 1


EUSP0101 Curncy DES

Style is Straddle (like almost all premium quoted swaptions - and ATM FX options for example, although the latter is quoted in VOL), thus the quoted premium is the sum of payer and receiver.

Usually quotes would be more liquid and reliable as normal vol (vol quotes) like EUR SWPT NVOL OISv3 1Y1Y {EUNE11 Curncy DES}.

You can look at {ALLQ} to see what quotes you have access to. Also, {VOLS} brings you directly to ICAP where you can find the various types of quotes (Swaptions Vols, Swaption Premium Spot and Fwd etc). Another useful tool is {NSV} where you can go to 92 ) enhanced monitor to have more choices - this tool also shows you the tickers.

BBG also offers a HW1F model in {SWPM} (as well as {DLIB}), so you could compare your results with Bloomberg once you have a working model.

Side remark: if you press F1 F1 on your keybord you reach the help desk where you should get answers a lot quicker usually. They pick up immediately and in this case it is mainly guiding you to the {DES} page.


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