INTEREST RATE OPTIONS
GFI has a strong presence in global interest rate markets with desks in North America, Europe and Asia.
Why GFI for Interest Rate Options Data?
- Strong and independent presence in global interest rate options (IRO) markets.
- True reflection of market, using real market prices to calibrate the volatility surface.
- Efficient execution and reliability in IRO markets provides complete content neutrality.
- Interest rate options (IRO) volatilities and premiums via a dedicated real-time IRO feed, delivered directly into your data distribution platform
A CLOSER LOOK
GFI Market Data, unlike so many other data offerings, refers to actual market prices and trade information, reflecting real market sentiment. Not just indications gleaned through consensus pricing.
Some Key Facts
- Asia Time Zone Currencies:
- Majors: AUD, JPY, USD
- Emerging: CNY, CNH, KRW, HKD, INR, MYR, PHP, SGD, THB, TWD, XWD.
- European Time Zone Currencies:
- Broker contribution and calibration.
- History from 2006.
- Proprietary analytics used for curve generation.
- Curves used to generate forward swaps for swaptions and caplets/floorlets for caps/floors.
- ATM volatilities generated for swaptions and cap/floors.
- Skew data for swaptions and cap/floors.
- Gamma and Vega volatility coverage
- Tenors out to 30y for ATM volatility and premium data and 30y for options maturity
- Tenors out to 30y for cap and floor volatility skew data