News
Energy & Commodities
Oil Price Commentary: Insights into Recent Trends and Drivers
By Francesca Marrone
24 Apr 2024
Tradition Excels in Risk.net’s 2024 Energy Commodity Rankings, with 8 wins including “Best Overall Commodities Broker”
By TraditionData
Business update
TraditionData Strengthens Netherlands Footprint Through Partnership with NIBC
22 Apr 2024
Interest Rate Derivatives
Interest Rate Derivatives & FX Updates: April 2024
By Jessica Kalaria
18 Apr 2024
Product notification
25 new USD SOFR Butterfly Spreads added to package
By Ian Sams
13 Feb 2023
The algorithm which generates the curve uses Gottex, the leading interdealer broker in Swiss derivatives, CHF SARON OIS content and the latest advances in machine learning to generate volatility surfaces for illiquid markets with sparse data.
The model synthesises large quantities of information, tracking related markets that exhibit common hidden patterns. The algorithm then generates missing data in a way that is simple, fast, market-consistent and non-arbitrageable for these currencies.
This model is overlaid into our existing proprietary volatility models, and checked daily by our product and analytics teams, to ensure that data sits within our predefined tolerance levels.
“In markets such as CHF swaptions, which are highly illiquid with very few observable market-quoted prices, we will produce volatility surfaces by tracking related markets that exhibit some common behaviours. This can help provide insight into sensible levels for those surfaces. Should liquidity increase, these surfaces will more and more reflect actual market pricing.” Steve Dalton, Director – Analytics.
We will continue to add more currency curves over the course of 2024, expanding access to data for our clients in these more illiquid markets, which will also include Cap/Floor data.
The data is currently available Direct from TraditionData, or via BBG and LSEG.
BLOOMBERGEID: 29387
LSEGTradition IRO: Global (Applications) – SDTFSDSIOGTradition IRO: EMEA (Applications) – SDTFSDSIOE
Manage interest rate risk, hedge and speculate on interest rates with our swaptions data packages.
Market Data
March 2024: Tradition Sets the Standard, Outperforming Competitors in Q1
8 Apr 2024
Bank of Japan Decision to End Negative Interest Rate Policy Influences OIS Rate
By Saracen Fletcher
25 Mar 2024
Interest Rate Derivatives Updates: March 2024
19 Mar 2024