Interest Rate Volatility Data
Overview
Interest rate volatility data packages from Parameta Solutions are primarily based on observations from regional interest rate options desks. Brokers are provided with tools to discover the best fitting set of SABR parameters given their market observations. They also calibrate the extensive at-the-money volatility grid based on their market observations and the surfaces we produce, even for illiquid markets are of high quality as they are bank-verified.
Key Benefits
Explore the benefits of our interest rate volatility data.
Data Highlights
Data Highlights
records
currencies
years historical data
Coverage Details
Coverage Details
Record Count
300,000+
Regions
AMER, APAC, EMEA
Sub-Asset Types
Swaptions
Cap/Floors
Constant Maturity Swaps
Currencies
USD, CAD, MXN, AUD, CNH, CNY, HKD, IDR, INR, JPY, KRW, MYR, NZD, PHP, SGD, THB*, TWD*, AED, CHF, CZK, DKK, EUR, GBP, HUF, ILS, NOK, PLN, SAR, SEK, TRY, ZAR
*both deliverable and non-deliverable options are available
History Start Date
Variable, historical data as far back as April 1993
Brands
TP, ICAP, Totan ICAP
Field Count
Variable
Direct Delivery Options
WebSocket, SFTP, Snowflake
Third Party/Channel Options
Bloomberg, Blackrock, BT Radianz, Chainlink, Cogencis, FactSet, FIS, ICE, IRESS, KG ZEROIN, KOSCOM, LSEG, QUICK, S&P (CapIQ), SIX Telekurs, Yonhap
Update Frequency
Real-Time, Intraday, End-of-Day
All figures are sourced from the Parameta Data Inventory as of 1 April 2025.
