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In-Depth Data | Interest Rates Options

Interest Rate Options


 

With 22 countries covered and a wide range of options, Tullett Prebon gives you the key data you need. Choose your coverage,
choose your ideal format and up your performance. Let’s talk.


 

Our Interest Rate Options offering consists mainly of cap/floor and swaption data. An interest rate cap is a regular series of interest rate options which effectively “caps” the short-term interest due from a borrower by paying out the excess interest compared to a pre-agreed strike level. A floor similarly protects a lender from an interest shortfall paying out where short-term interest rates are below a strike. Swaptions are “swap options”: options to enter into an interest rate swap at a future date. There are payer and receiver varieties. Caps, floors and swaptions can be quoted in price terms or by giving volatility levels to be input into standard market models. Our data is available across a large range of currencies, maturities and tenors and with a wide selection of strike levels (as well as at the money, “ATM”).

 

The offering

Tullett Prebon Information offers comprehensive IRO packages across 22 countries. The derivatives covered are caps/floors, swaptions and CMS options. We offer several formats to suit the needs of different customers: ATM only, “skew” format with a range of strikes up to 4% above or below ATM, and “surface” format with a broader range of pre-set strikes from 0.25% to 20%.

Our package capitalises on the global strength of the Tullett Prebon Interest Rate Option broking business. The internal models used to produce our indicative data are continually calibrated to take account of market movements observed by broking desks. All outputs are run through a robust Data Quality process.

 

Enlarge
GBP Swaption Vol Chart

Extensive coverage

  • North America
    USA, Canada
  • Europe
    Euro, UK, Switzerland, Denmark, Sweden, Norway
  • Africa & Middle East
    South Africa, Saudi Arabia, UAE
  • Asia & Pacific
    Australia, Japan, South Korea
  • European & Asian Emerging Markets
    Poland, Czech Republic, Hungary, Turkey, Russia
  • American Emerging Markets
    Mexico, Brazil
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