News
Interest Rate Derivatives
IRD & Money Markets Product Updates: July 2024
By Jessica Kalaria
18 Jul 2024
Energy & Commodities
End of Day Coal Data – Product Enhancement
By Francesca Marrone
2 Jul 2024
Eastern European Power EOD – Product Enhancement
CAD CORRA Swaptions Surface – Product Launch
By Ian Sams
1 Jul 2024
Product notification
25 new USD SOFR Butterfly Spreads added to package
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.
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LSEGTradition IRO: Global (Applications) – SDTFSDSIOGTradition IRO: EMEA (Applications) – SDTFSDSIOE
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