Interest Rate Options (IRO)

A broad dataset of interest rate option premiums and implied volatilities across multiple currencies.

Products

Caps & Floors Swaptions

Asian Interest Rate Options

SUMMARY

Real-time, accurate, timely, and comprehensive Interest Rate Options data

Interest rate options are essential instruments in today’s financial markets, supporting risk management, speculation, and portfolio optimisation while offering insight into market expectations.

Our interest rate options data packages provide accurate, timely, and comprehensive information to meet the growing demand for high-quality financial data.

Our IRO expertise and offering

Real-time, intraday, end-of-day, and historical pricing for global interest rate options.

Coverage includes ATM and OTM swaptions, ATM and OTM caps & floors.

Implied volatilities expressed in normal, lognormal, or shifted lognormal terms, aligned with market norms.

We constantly review and enhance our analytical methods to ensure accuracy and alignment with market standards.

Our global analytics team provides advanced tools for yield curve bootstrapping, volatility cube management, and valuation of FX and IR derivatives.

Collateralisation assumptions based on dominant market practices, including overnight cash collateral derived from OIS rates and alternative reference rates (SOFR, ESTR).

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KEY BENEFITS

Benefits of using our interest rate options data packages include:

Risk management: IROs can be used to hedge against changes in the value of an underlying security. They can help reduce the risk of portfolios.

Flexibility: Interest Rate Options can be customized to meet the specific needs of a buyer, making them a flexible financial instrument.

Diversification: Using Interest Rate Options can help diversify a portfolio, as they offer exposure to different asset classes.

Liquidity: Interest Rate Options are typically highly liquid, making it easy to trade as required.

As global markets transition to overnight indices that better reflect true funding costs, we have enhanced our analytics and expanded our IRO dataset to support these changes and deliver greater value to our clients.

Key enhancements:

Richer metadata exposing modelling assumptions and conventions.
Expanded strikes and tenors for broader market coverage.
Improved analytics tools to account for new index structures.

What are Interest Rate Options?

How are Interest Rate Options calculated?

Interest Rate Options are financial derivatives that give the holder the right, but not the obligation, to buy or sell a security with a predetermined interest rate at a specific time in the future. They are often used as a means of hedging against changes in the value of an underlying security, such as a bond, or as a way to speculate on the future direction of interest rates.

Interest Rate Options can be based on a variety of different underlying securities, including government bonds, corporate bonds, and other debt instruments, and can be customized to meet the specific needs of the buyer. They can be a useful tool for managing risk and maximizing returns in a portfolio.

The calculation of interest rate options 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 option, which represents the theoretical profit or loss that would be generated if the option were exercised.

Additionally, the calculation of interest rate options 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.