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05/04/2026

IRO – Swaptions Product Specification

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TraditionData

Product Code:

IRO-SWP-GLO-ALL

Description:

Swaptions (options on interest rate swaps) can be used by financial services professionals as tools for managing interest rate risk, counter-party credit risk (swap replacement), convertible and cancellable bond risk, among many other uses.

Data Source:

Data sourced directly from Tradition’s brokerage desks with 6 global desks.

Delivery Method:

  • real-time:Access real-time data
  • Hourly:Receive hourly snapshots delivered via SFTP.
  • end-of-day:Obtain end-of-day snapshots delivered via SFTP.

Data Frequency:

Market data is updated real-time directly sourced from various trading platforms.

Data Format:

CSV files for hourly snaps , FIX API for Real-time

Data Coverage:

  • Asset Class: IRD Interest Rate Derivatives (IRD)
  • Sub Class: Overnight Indexed Swaps (OIS)
  • Key stats : +10K instruments 19 currencies 6 global desks

Tradition Data Packages:

    Product Code Product Name
    IRO-SWP-GLO-ALL Global ALL
    IRO-SWP-AME-ALL Americas ALL
    IRO-SWP-AME-ARM Americas Regional Majors
    IRO-SWP-AME-DOE Americas Dollar Emerging
    IRO-SWP-EUR-ERM Europe, Middle East & Africa Regional Majors
    IRO-SWP-APA-ALL Asia Pacific ALL
    IRO-SWP-APA-AUS Asia Pacific Australasia
    IRO-SWP-APA-GCH Asia Pacific Greater China
    IRO-SWP-APA-JPY Asia Pacific Japan
    IRO-SWP-APA-KOR Asia Pacific Korea
    IRO-SWP-APA-SEA Asia Pacific South East Asia

Swaptions Conventions:

    </TR
    Currency Code Index CSA Option
    CADCAD

    CAD CORRA

    CORRA

    USDUSD

    USD 3m LIBOR

    USD SOFR 3m

    SOFR

    SOFR

    CHFCHF

    CHF SARON

    SARON

    EUREUR

    EUR 6m EURIBOR

    EUR 6m EURIBOR

    EUR ESTR

    ESTR

    ESTR

    ESTR

    GBPGBP

    GBP 3m LIBOR

    GBP 3m LIBOR

    GBP SONIA

    GBP

    GBP

    GBP

    ILSILS

    ILS 3m TELBOR

    ILS

    JPY

    JPY

    JPD

    JPY

    JPY 6m LIBOR

    USD 6m LIBOR

    JPY TONA

    JPY

    SOFR

    JPY

    AUDAUDAUD 3m/6m BBSWAUD
    NZDNZDNZD 3m BBSWNZD
    HKDHKDHKD 3m HIBORSOFR
    CNYCNY

    CNH

    		CNY 7d REPO

    USD 3m LIBOR

    		SOFR

    SOFR

    KRW

    KRW

    KRWUSD

    KRW 90d CD

    KRW 90d CD

    KRW

    SOFR

    MYRMYRMYR 3m KLIBORSOFR
    SGDSGD

    SGD 6m SIBOR

    SGD SORA

    SORA

    SOFR

    THB

    THB

    THB THOR

    THB 6m THFX

    THOR 3m

    SOFR

    SOFR

    TWD

    TWD

    TWN

    3m TAIBOR

    3m TAIBOR

    SOFR

    SOFR

    MXN

    MXN

    MXNUSD

    F-TIIE

    F-TIIE

    MXN

    SOFR

    CZKCZKPRIBORCZK
    HUFHUFBUBORHUF
    PLNPLNWIBORPLN

Attribute List:

    Attribute Type Length
    Instrument NameALPHANUMERIC30
    DiscountingALPHANUMERIC1
    UnderlyingALPHANUMERIC20
    NormVolScalingINTEGER15
    LogVolScalingINTEGER15
    PremiumScalingINTEGER15
    RateScalingINTEGER15
    Primary currencyALPHANUMERIC3
    CSA currency (option)ALPHANUMERIC3
    CSA currency (underlying)ALPHANUMERIC3
    DeltaClearerCodeALPHANUMERIC6
    ExpiryDateDATE11
    SwapStartDateDATE11
    SwapMaturityDateDATE11
    PremiumPmtDateDATE11
    StructureNameALPHANUMERIC78
    ShortStructureNameALPHANUMERIC12
    UnderlyingRateTextALPHANUMERIC12
    Settlement typeALPHANUMERIC20
    IrsSettlementCcyALPHANUMERIC3
    IrsDeliverabilityALPHANUMERIC2
    MktPremiumPmtTypeALPHANUMERIC2
    DateCalcBaseDateDATE11
    SpotPremiumDateDATE11
    FwdPremiumDateDATE11
    LastCalculatedDateDATE11
    AtmRatePRICE17
    SpotPricePRICE17
    FwdPricePRICE17
    NormVolPRICE17
    LogVolPRICE17
    NormVegaPRICE17
    LogVegaPRICE17
    Shift1PRICE17
    Shifted ATM log vol 1PRICE17
    Shift2PRICE17
    Shifted ATM log vol 2PRICE17
    NormVolCashIRRPRICE17
    ATM cap/payer pricePRICE17
    ATM floor/receiver pricePRICE17
    SkewPremiumTypeALPHANUMERIC6
    SkewStrikesAreRelativeALPHANUMERIC6
    SkewPremiumFlag1ALPHANUMERIC1
    SkewPremiumFlag2ALPHANUMERIC1
    SkewPremiumFlag3ALPHANUMERIC1
    SkewPremiumFlag4ALPHANUMERIC1
    SkewPremiumFlag5ALPHANUMERIC1
    SkewPremiumFlag6ALPHANUMERIC1
    SkewPremiumFlag7ALPHANUMERIC1
    SkewPremiumFlag8ALPHANUMERIC1
    SkewPremiumFlag9ALPHANUMERIC1
    SkewPremiumFlag10ALPHANUMERIC1
    SkewPremiumFlag11ALPHANUMERIC1
    SkewPremiumFlag12ALPHANUMERIC1
    SkewPremiumFlag13ALPHANUMERIC1
    SkewPremiumFlag14ALPHANUMERIC1
    SkewPremiumFlag15ALPHANUMERIC1
    SkewPremiumFlag16ALPHANUMERIC1
    SkewPremiumFlag17ALPHANUMERIC1
    SkewPremiumFlag18ALPHANUMERIC1
    SkewPremiumFlag19ALPHANUMERIC1
    SkewPremiumFlag20ALPHANUMERIC1
    SkewPremiumFlag21ALPHANUMERIC1
    SkewPremiumFlag22ALPHANUMERIC1
    SkewPremiumFlag23ALPHANUMERIC1
    SkewPremiumFlag24ALPHANUMERIC1
    SkewPremiumFlag25ALPHANUMERIC1
    SkewPremiumFlag26ALPHANUMERIC1
    SkewPremiumFlag27ALPHANUMERIC1
    SkewPremiumFlag28ALPHANUMERIC1
    SkewPremiumFlag29ALPHANUMERIC1
    SkewPremiumFlag30ALPHANUMERIC1
    SkewStrikes1PRICE17
    SkewStrikes2PRICE17
    SkewStrikes3PRICE17
    SkewStrikes4PRICE17
    SkewStrikes5PRICE17
    SkewStrikes6PRICE17
    SkewStrikes7PRICE17
    SkewStrikes8PRICE17
    SkewStrikes9PRICE17
    SkewStrikes10PRICE17
    SkewStrikes11PRICE17
    SkewStrikes12PRICE17
    SkewStrikes13PRICE17
    SkewStrikes14PRICE17
    SkewStrikes15PRICE17
    SkewStrikes16PRICE17
    SkewStrikes17PRICE17
    SkewStrikes18PRICE17
    SkewStrikes19PRICE17
    SkewStrikes20PRICE17
    SkewStrikes21PRICE17
    SkewStrikes22PRICE17
    SkewStrikes23PRICE17
    SkewStrikes24PRICE17
    SkewStrikes25PRICE17
    SkewStrikes26PRICE17
    SkewStrikes27PRICE17
    SkewStrikes28PRICE17
    SkewStrikes29PRICE17
    SkewStrikes30PRICE17
    Skew Log vols (absolute)1PRICE17
    Skew Log vols (absolute)2PRICE17
    Skew Log vols (absolute)3PRICE17
    Skew Log vols (absolute)4PRICE17
    Skew Log vols (absolute)5PRICE17
    Skew Log vols (absolute)6PRICE17
    Skew Log vols (absolute)7PRICE17
    Skew Log vols (absolute)8PRICE17
    Skew Log vols (absolute)9PRICE17
    Skew Log vols (absolute)10PRICE17
    Skew Log vols (absolute)11PRICE17
    Skew Log vols (absolute)12PRICE17
    Skew Log vols (absolute)13PRICE17
    Skew Log vols (absolute)14PRICE17
    Skew Log vols (absolute)15PRICE17
    Skew Log vols (absolute)16PRICE17
    Skew Log vols (absolute)17PRICE17
    Skew Log vols (absolute)18PRICE17
    Skew Log vols (absolute)19PRICE17
    Skew Log vols (absolute)20PRICE17
    Skew Log vols (absolute)21PRICE17
    Skew Log vols (absolute)22PRICE17
    Skew Log vols (absolute)23PRICE17
    Skew Log vols (absolute)24PRICE17
    Skew Log vols (absolute)25PRICE17
    Skew Log vols (absolute)26PRICE17
    Skew Log vols (absolute)27PRICE17
    Skew Log vols (absolute)28PRICE17
    Skew Log vols (absolute)29PRICE17
    Skew Log vols (absolute)30PRICE17
    Skew norm vols (absolute)1PRICE17
    Skew norm vols (absolute)2PRICE17
    Skew norm vols (absolute)3PRICE17
    Skew norm vols (absolute)4PRICE17
    Skew norm vols (absolute)5PRICE17
    Skew norm vols (absolute)6PRICE17
    Skew norm vols (absolute)7PRICE17
    Skew norm vols (absolute)8PRICE17
    Skew norm vols (absolute)9PRICE17
    Skew norm vols (absolute)10PRICE17
    Skew norm vols (absolute)11PRICE17
    Skew norm vols (absolute)12PRICE17
    Skew norm vols (absolute)13PRICE17
    Skew norm vols (absolute)14PRICE17
    Skew norm vols (absolute)15PRICE17
    Skew norm vols (absolute)16PRICE17
    Skew norm vols (absolute)17PRICE17
    Skew norm vols (absolute)18PRICE17
    Skew norm vols (absolute)19PRICE17
    Skew norm vols (absolute)20PRICE17
    Skew norm vols (absolute)21PRICE17
    Skew norm vols (absolute)22PRICE17
    Skew norm vols (absolute)23PRICE17
    Skew norm vols (absolute)24PRICE17
    Skew norm vols (absolute)25PRICE17
    Skew norm vols (absolute)26PRICE17
    Skew norm vols (absolute)27PRICE17
    Skew norm vols (absolute)28PRICE17
    Skew norm vols (absolute)29PRICE17
    Skew norm vols (absolute)30PRICE17
    Skew Log vols (relative)1PRICE17
    Skew Log vols (relative)2PRICE17
    Skew Log vols (relative)3PRICE17
    Skew Log vols (relative)4PRICE17
    Skew Log vols (relative)5PRICE17
    Skew Log vols (relative)6PRICE17
    Skew Log vols (relative)7PRICE17
    Skew Log vols (relative)8PRICE17
    Skew Log vols (relative)9PRICE17
    Skew Log vols (relative)10PRICE17
    Skew Log vols (relative)11PRICE17
    Skew Log vols (relative)12PRICE17
    Skew Log vols (relative)13PRICE17
    Skew Log vols (relative)14PRICE17
    Skew Log vols (relative)15PRICE17
    Skew Log vols (relative)16PRICE17
    Skew Log vols (relative)17PRICE17
    Skew Log vols (relative)18PRICE17
    Skew Log vols (relative)19PRICE17
    Skew Log vols (relative)20PRICE17
    Skew Log vols (relative)21PRICE17
    Skew Log vols (relative)22PRICE17
    Skew Log vols (relative)23PRICE17
    Skew Log vols (relative)24PRICE17
    Skew Log vols (relative)25PRICE17
    Skew Log vols (relative)26PRICE17
    Skew Log vols (relative)27PRICE17
    Skew Log vols (relative)28PRICE17
    Skew Log vols (relative)29PRICE17
    Skew Log vols (relative)30PRICE17
    Skew norm vols (relative)1PRICE17
    Skew norm vols (relative)2PRICE17
    Skew norm vols (relative)3PRICE17
    Skew norm vols (relative)4PRICE17
    Skew norm vols (relative)5PRICE17
    Skew norm vols (relative)6PRICE17
    Skew norm vols (relative)7PRICE17
    Skew norm vols (relative)8PRICE17
    Skew norm vols (relative)9PRICE17
    Skew norm vols (relative)10PRICE17
    Skew norm vols (relative)11PRICE17
    Skew norm vols (relative)12PRICE17
    Skew norm vols (relative)13PRICE17
    Skew norm vols (relative)14PRICE17
    Skew norm vols (relative)15PRICE17
    Skew norm vols (relative)16PRICE17
    Skew norm vols (relative)17PRICE17
    Skew norm vols (relative)18PRICE17
    Skew norm vols (relative)19PRICE17
    Skew norm vols (relative)20PRICE17
    Skew norm vols (relative)21PRICE17
    Skew norm vols (relative)22PRICE17
    Skew norm vols (relative)23PRICE17
    Skew norm vols (relative)24PRICE17
    Skew norm vols (relative)25PRICE17
    Skew norm vols (relative)26PRICE17
    Skew norm vols (relative)27PRICE17
    Skew norm vols (relative)28PRICE17
    Skew norm vols (relative)29PRICE17
    Skew norm vols (relative)30PRICE17
    SkewPremium1PRICE17
    SkewPremium2PRICE17
    SkewPremium3PRICE17
    SkewPremium4PRICE17
    SkewPremium5PRICE17
    SkewPremium6PRICE17
    SkewPremium7PRICE17
    SkewPremium8PRICE17
    SkewPremium9PRICE17
    SkewPremium10PRICE17
    SkewPremium11PRICE17
    SkewPremium12PRICE17
    SkewPremium13PRICE17
    SkewPremium14PRICE17
    SkewPremium15PRICE17
    SkewPremium16PRICE17
    SkewPremium17PRICE17
    SkewPremium18PRICE17
    SkewPremium19PRICE17
    SkewPremium20PRICE17
    SkewPremium21PRICE17
    SkewPremium22PRICE17
    SkewPremium23PRICE17
    SkewPremium24PRICE17
    SkewPremium25PRICE17
    SkewPremium26PRICE17
    SkewPremium27PRICE17
    SkewPremium28PRICE17
    SkewPremium29PRICE17
    SkewPremium30PRICE17

    FAQ:

      Question Answer
      How many snap files are available per day? 24 files per day
      What are the Key benefits of TraditionData Data package? Manage Risk: Swaptions can be used by companies and financial institutions to hedge against the risk of rising or falling interest rates. For example, a company with a large amount of fixed-rate debt may purchase a swaption as a hedge against the risk of rising interest rates. Speculation: Swaptions can also be used as a speculative investment. Investors can purchase a swaption in order to bet on the direction of interest rates. If interest rates rise, the value of the swaption will increase, and the investor can make a profit by selling the swaption. Yield enhancement: Swaptions can also be used to enhance yield by some pension funds, insurance companies and other institutional investors. They can use swaptions to gain exposure to different parts of the yield curve, which can help to boost returns. Capital management: Banks and other financial institutions can use swaptions as a tool for managing their capital and regulatory requirements. Banks are required to hold a certain amount of capital to cover potential losses, and the use of swaptions can help them to meet these requirements while still earning a return on their capital.
      What is a swaption? Swaptions are financial derivatives that give the holder the right, but not the obligation, to enter into an interest rates swap (IRS, OIS or Cross currency swap) as the payer or receiver of the fixed rate at a predetermined interest rate, at a specific time in the future, and for a specific swap tenor.
      How are swaptions calculated? The value of a swaption is determined by several factors, including the current level of interest rates, the strike price, the time to expiration, and the volatility of interest rates. The calculation of swaptions involves determining the expected future interest rate, also known as the theoretical forward rate, and comparing it to the strike price. This comparison is used to determine the intrinsic value of the swaption, which represents the theoretical profit or loss that would be generated if the swaption were exercised. Additionally, the calculation of swaptions includes a volatility component, which is used to account for the uncertainty of future interest rate movements. The volatility component is typically estimated using statistical models, such as the Black-Scholes model, which incorporates the current level of interest rates, the strike price, the time to expiration, and the volatility of interest rates. The intrinsic value and the volatility component are combined to determine the overall value of the swaption.
      What is MXN F-TIIE? The F-TIIE (TIIE de Fondeo) , or Funding TIIE , is the new benchmark rate for Mexico, replacing the 28D TIIE. It's a Mexican peso-denominated, short-term funding rate based on the Mexican interbank repo market.
      Is Historical Data Available? Yes, Since 2020.

    This document and its contents are confidential. It is intended solely for the use of the individual or entity to which it is provided. Information contained herein is the property of Compagnie Financière Tradition S.A. or any of its subsidiaries and/or TraditionData (together “Tradition”). Unauthorised disclosure, copying or distribution of such information is strictly prohibited, and the information shall not be redistributed in any form to any third party, in each case without the prior consent of Tradition. Whilst every effort is made to ensure the accuracy of the information contained herein, no warranty, condition or guarantee is given by Tradition in respect of any information. Nothing herein constitutes investment advice or an offer, or solicitation of an offer, to buy or sell any financial product. To the maximum extent of the law, Tradition accepts no responsibility for any reliance placed on the contents of this document and accepts no liability for any direct, indirect or any other loss arising out of any use of the information contained in this document or any omission from it. It is not intended for distribution to, or use by any person or entity in any jurisdiction or country where such distribution or use would be contrary to any applicable law or regulation. Copyright © Tradition. TraditionData is a trade mark of Tradition. Commercial in Confidence. March 2026

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