Cap Volatility Data
FinPricing offers:
Four user interfaces:
- Data API.
- Excel Add-ins.
- Model Analytic API.
- GUI APP.
Cap Implied Volatility Sample Data
FinPricing offers the following curves for various currencies via API:
- OIS curves
- RFR (risk free rate) curves
- SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
- IBOR curves
- Swap rate curves
- Basis curves
- Spot rate or zero rate curves
- Forward rate curves
- Discount curves
- Inflation Swap rate (CPI, RPI, HICP) curves
- Nordic electricity futures curve
- VIX futures curve
- S&P 500 futures curve
Cap implied volatility surface is a three dimensional plot of the implied volatility as a function of strike and cap expiry.
In the past, interest rate was always positive and hence the Black-Scholes was based on lognormal assumption. Consquently interest rate implied volatility is quoted via absolute strikes. After finanacial crises, interest rates in many regions turn negative. Consequently interest rate option pricing model evolves from lognormal assumption to normal assumption, resulting relative strike representation of cap implied volatility.
The data volume of a cap volatility surface is enormous. A partial quoted cap implied volatility surface is shown below:
| ValuationDate | Expiry | Strike | Volatility |
|---|---|---|---|
| ... | ... | ... | ... |
| 2019-05-12 | 1Y | 0.01 | 0.450711927 |
| 2019-05-12 | 1Y | 0.02 | 0.148646436 |
| 2019-05-12 | 1Y | 0.03 | 0.224039171 |
| 2019-05-12 | 1Y | 0.04 | 0.268764544 |
| 2019-05-12 | 1Y | 0.05 | 0.29602446 |
| 2019-05-12 | 1Y | 0.07 | 0.227392181 |
| 2019-05-12 | 1Y | 0.1 | 0.168717351 |
| 2019-05-12 | 1Y | 0.12 | 0.143954031 |
| ... | ... | ... | ... |
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