EDIT; I looking for sources where from I could get interest rate derivatives market data? (caps,floors,swaptions, etc, is there data available for exotics ones or are they purely OTC?) I would grade the sources are free/cheap/expensive (like bbg)

I saw finpricing being recommended,but it seems the service doesn't exists anymore.

  • 6
    $\begingroup$ That's a lot of questions in one go. Generally, MtM just refers to the accounting for the market price. And yes, you just use Black or normal model and sum the individual caplets / floorlets and IV for each caplet / floorlet will be identical to a swaption with same maturity and strike, as shown here with Bloomberg SWPM. Yes, since libor no longer trades, RFR is used nowadays (SOFR in the US). LMM is not needed for vanilla caps / floors. $\endgroup$
    – AKdemy
    Commented Dec 12, 2023 at 20:32
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    $\begingroup$ It's all OTC really. Standard sources are Bloomberg and Refinitiv. $\endgroup$
    – AKdemy
    Commented Dec 16, 2023 at 9:15
  • 3
    $\begingroup$ As soon as we got used to the name "Refinitiv", it's being rebranded "LSEG" :) $\endgroup$ Commented Dec 16, 2023 at 20:38


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