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James Mahn
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Jim began his career as an interest rate swap and FX trader for Credit Suisse and then spent the last 20 years of his career creating and managing institutional digital data, analytic and content platforms for Bloomberg, Lehman Brothers, Barclays and Citibank. As Head of Product he is responsible for ensuring that TraditionData’s product suite continually evolves to meet the needs of both the market and our customers.
asia

Asian Interest Rate Options

Comprehensive access to the market-leading and most active broker in the Asia Interest Rate Options market. Real-time, hourly and end-of-day data that provides unparalleled insight into this market.
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SUMMARY

Interest rate options are essential financial instruments that serve various purposes in the financial markets, including risk management, speculation, and portfolio management. They also provide valuable information about market expectations and sentiment regarding interest rates.

Using existing and new modelling techniques in conjunction with our best in breed broker analytics, we offer real-time, hourly and end-of day data across 18 separate Asia-based IRO products.

These include shifted log normal vols for JPY TONA and legacy JPY LIBOR products

Key Points:

  • ATM Swaptions:-

Spot Premiums, Forward Premiums, Normal Vols (absolute and relative) & Log Normal Vols (absolute and relative)

  • OTM Swaptions:-

Spot Premiums, Forward Premiums, Normal Vols (absolute and relative) & Log Normal Vols (absolute and relative)

  • ATM Cap & Floors:-

Spot Premiums, Forward Premiums, Normal Vols (absolute and relative) & Log Normal Vols (absolute and relative)

  • OTM Cap & Floors:-

Cap Spot Premiums, Floor Spot Premiums, Normal Vols (absolute and relative) & Log Normal Vols (absolute and relative)


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Sub-Region
Currency
Underlying
Funding
Swaptions
Caps & Floors
China
CNY
SHIBOR
USD
Japan
JPY
LIBOR
JPY
Japan
JPY
LIBOR
USD
Japan
JPY
TONA
JPY TONA
Australasia
AUD
BBSW
AUD
Australasia
NZD
BKBM
NZD
Korea
KRW
91d CD
KRW
Korea
KRW
91d CD
USD
Greater China
CNH
SOFR
USD
Greater China
HKD
HIBOR
USD
Greater China
TWD
TAIBOR
USD
Greater China
TWN
TAIBOR Non-Deliverable
USD
South East Asia
MYR
KLIBOR
USD
South East Asia
SGD
SOR
USD
South East Asia
SGD
SORA
USD
South East Asia
INR
MIBOR Non-Deliverable
USD
South East Asia
THB
THBFIX
USD
South East Asia
THB
THOR
USD

Asian IRO Product Codes

Caps & Floors
Sub-Region
TPC (Tradition Product Code)
Greater China
IRO-CAF-APA-GCH
Japan
IRO-CAF-APA-JPY
Korea
IRO-CAF-APA-KOR
South East Asia
IRO-CAF-APA-SEA
Australasia
IRO-CAF-APA-AUS
Swaptions
Sub-Region
TPC (Tradition Product Code)
Greater China
IRO-SWP-APA-GCH
Japan
IRO-SWP-APA-JPY
Korea
IRO-SWP-APA-KOR
South East Asia
IRO-SWP-APA-SEA
Australasia
IRO-SWP-APA-AUS

Key stats

+
6.2
k
Instruments (Internally)
+
1
million
Instruments (Externally)
18
Asia-based IRO products
+
5
years
historical data
Frequently Asked Questions

Asian IRO FAQs

What is the source of the data?

Data is derived directly from our leading desks location in the Asia Region. These include Singapore, Sydney and Tokyo.

How can the data be delivered?

Real-time, hourly and end-of day directly from TraditionData or via BBG (B-pipe and/or Data License (DL)) and LSEG (Real-time feed, DataScope Select (DSS) and/or Tick History).

How many snap files are available per day?

Hourly Snaps: we snap the data 24hrs a day on the hour with some incremental snaps. Each file contains data for all ATM and OTM surfaces

Are sample files available?

Yes, please contact us to request sample files.

How far back do you have history?

Dependant on the currency and product, but in some cases we have 5+ years of historical data.

What is the file format of the historical data?

Data is provided in .csv format (comma separated values).

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