We are pleased to announce the release of our new CAD CORRA Swaptions Surface, powered by Data Science.

Using the same modelling technique as in our recently launched CHF SARON surface, we generate prices using Tradition’s own CAD CORRA Swaptions data – coupled with the latest advances in machine learning – to create 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.

The data is currently available Direct from TraditionData, or via Bloomberg and LSEG:

BLOOMBERG
EID: 16331
Page: TREO
Pricing Source: TRPU

LSEG
Tradition IRO: Global (Applications) – SDTFSDSIOG
Tradition IRO: Americas (Applications) – SDTFSDSIOAM

CAD CORRA Swaptions Surface


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