I am in quite desperate need for IR caps and swaptions data for USD and EUR. Is there anyone who could help with this? I work in energy and do not know where to find this. Tried on Bloomberg but I am not sure that the vol cube has all I need. To be specific I am looking for :1. Swap rates for start dates and tenors of 3m, 6m, 1Y, 2Y, 10Y, 20Y, 30Y.2. Caplet implied volatility data accross strikes for the same data as 1.3. Swaptions implied volatility data accross strikes for the same data as 1.Is there anyone who could help on this forum? Thank you very much.

Hitry these pages on Bloomberg:1-IYC and find the Euro or US.2 and 3- SWYV

Thanks rik. I have tried but could only find the ATM vols. I need the skew. Is there any page in which I could find this?

No - skew is "protected", so the best you are likely to get is ATM vols

Hi haZim,try VOLS <go> for cap and swaption contributed by ICAP and OPTI <go> for swaption ATM and skew contributed by BGC parteners. If the access is denied, contact the desk (there should be a telephone number on the BBG screen) and ask for autorization to access the data. C.

Hi haZim,try VOLS <go> for cap and swaption contributed by ICAP and OPTI <go> for swaption ATM and skew contributed by BGC parteners. If the access is denied, contact the desk (there should be a telephone number on the BBG screen) and ask for autorization to access the data. C.

The other source of data (not on bloomberg) for vol surface is from super derivatives. This does has the skew (otm/itm calls) you want on swaption, caps and floors. However as usual not cheap, but not anymore then bloomberg I'd expect.

Thanks cfornarola, I will give it a try. For superderivatives, I use Bloomberg and Reuters at work. The data I need is not for my work but for my studies, I wouldn't spend a few 100 bucks to calibrate a thesis' model.

I am trying to understand the convention in the bloomberg vol cube or the caps/floors ICAP implied vol matrix. The strikes given in the second column, are they the ones used for the ATM vols in the thrid column? Does that mean that ATM is the current rate for the first caplet's period in the cap (or is another caplet's period used to determine the ATM strike)? Also is there an inconsistency if the vols used for caps that overlap each other is different, in the sense that one could extract the same caplet (albeit with a tiny difference in strike) but with two different vols?

the strikes are the atm strikes for that tenor, the atm vol is for an atm straddle, the strikes across the top imply whether the vol is for a cap/floor. the atm strike is the fwd rate from first roll date to maturity P.S> don't understand your point about overlapping caps

Thanks Wibble. If I understand correctly say I have an 1 year cap, on the 3 month rate...this means I've got 4 caplets the first on the rate fixed in 3 months from now, the second on the rate fixed 6 months from now, the third on that fixed nine months from now and the final one on the rate fixed in 1 year and ending in 15 months from now. The atm strike is thus fixed so that the first caplet is ATM (the current 3 months forward rate with 3 months tenor = the strike) just like for Asian strips on crude/products -so that in a market in contango the other caplet strips in the cap will be ITM and in a market in backwardation the rest will be OTM, is that what you are saying? The jargon used for floors/collars/caps is probably the same as in energy where we've got a put/call skew..is that right? Hence regardless i can take the vol and price an OTM caplet as if i was using the vol when pricing an ITM floorlet. ATM collars will thus obviously have the same vol as the ATM calls/puts they contain. Is there any way on earth I can get the swaptions SKEW without pestering our fixed income team? I've already been pestering the FI options data guy who was only able to give me the ATM vols which I could already find on Bloomberg.What I meant with the last question was the following. Say I take the 2 years and 18M ATM caps. From what I see the vols on them where 14.36 and 13.98 at 14:01 on 24Sept07. The respective strikes where 4.28 and 4.29, hence only 1 bp difference in strike. Now the two caps overlap for a period of 18M so they contain the same caplets for that period, albeit with a 1bp difference in strike. The prices for the caplets though is quite different given A 38 BPS DIFFERENCE in the vols in which they are priced. Thanks a lot Wibble.BTW I DO NOT NEED SEVERAL DAYS, I ONLY NEED ONE DAY'S SKEW FOR SWAPTIONS OF A FEW (2-3) SHORT MATURITIES AND TENORS, ONE FOR MID MATURITIES AND TENORS AND A FEW (2-3) FOR LONGER ONES, preferably on EUR rates.

haZim,You've got your caplet strikes/structure wrong. First, the tenor identifies the final maturity, not the final fixing. So for a 1Y cap the final fixing will be in 9 months with a final payout (if any) at 1Y. Secondly, by convention spot start caps do not include the first period. This means 1Y cap on 3-Mo LIBOR will only have 3 caplets, for the 3 x 6, 6 x 9, and 9 x 12 month periods. Thirdly, the strike on an ATM cap on 3-Mo LIBOR is set to the corresponding tenor, quarterly-quarterly swap rate, quoted on a money market basis (i.e. act/360 for USD). This means that the first caplet on a 1Y ATM cap has the 1Y swap rate for a strike, and the first caplet on a 2Y ATM cap has the 2Y swap rate for a strike, even though the caplets span the same accrual period. Likely neither of those strikes will be the same as the 3 x 6 forward rate. Lastly, one period caps do not trade. The best you can do is get a quote on an IRG (Interest Rate Guarantee) which is an option on a FRA (Forward Rate Agreement).Jim

That's exactly what I meant with tenors, with fixings and strikes, I don't think I had that misunderstood. Also it is obvious that caps cannot be written on the first period, the rate has already been fixed then.....What you made clear to me though was the number of caplets in the structures, thanks. I thought the last date in the quote was the last fixing not the last payoff, so that an extra cap would be included, I didn't have tenors mixed up in this. Are you sure about this though, all the papers I have been reading include the last date as the date of last fixing? Can anyone else please confirm?Now though you are confusing me with this swap rate issue. You mean the strike is not set on the first forward rate that the first caplet in the cap is written on? The 1Y swap rate is different from the 3 month forward 3 month tenored libor. What is it written on? What do you mean by 1Y swap rate then? I am talking about caplets not swaptions, these are written on forward rates of tenor verying between 3 months for short maturities and 6 months for the longer ones NOT 1y or 2Y swap rates as you mention, is the strike that you are talking about then taken from a different market???I have managed to grab a copy of Brigo & Mercurio and they also mention the inconsistency with caplet volatilities. Whether that is tradeable I am not sure, may be you could if there were forward starting caps in the market. Don't know, it is just comforting that the inconsistency is not coming from a misunderstaning. Jim, do you think you could get me the swaptions skew data for EUR rates please?Thanks.

Unless you have some custom step rate structure, the individual caplets in a cap are all struck at the same rate. So, for a spot start ATM 1Y cap, one finds the ATM swap rate over the same accrual period as the cap (i.e., the nine month period 3 x 12) and uses the same strike rate for all three caplets. The 2Y spot start ATM cap uses the 21 month 3 x 24 swap rate as the strike for all seven caplets. These strike rates are almost assuredly not equal to the 3 x 6 forward rate. Forward starting caps use the ATM swap rate for the full accrual period as the strike, again all caplets have the same strike.In my current shop, we trade USD stuff almost exclusively so I don't have any EUR quotes for you. Sorry.Jim

OOOOH! Very nice. That's very informative, the strike is thus taken from the swap rate but the payoff is calculated on the forward mx3 or mx6 one (where m is the maturity of the caplets and 3 or 6 depend on wether the cap is of less than/equal or more than 2 years) ? I am already aware that the strikes are the same for all the caplets, but did not know they were taken from the swap rate rather than the first starting forward underlying the contract. In Oil Asian ATM average price strips are all set to the first expiry date's contract not the swap with the same period (so say I have a strip starting in a week...the strikes will be set by the December futures contract level -November delivery will have expired by then-). Thanks.I would be more than happy to work on US rates if I am able to get data for them instead! I haven't calibrated my model yet, and have not built it for a specific currency!Thanks.