How do I parse Reuters RIC symbols for caps?

korikancha · April 7th, 2006, 5:26 pm

Hi all. I have to write some code to parse a RIC symbol for the CAP vols, which look like US2YCSTK2=ICAP. My question is, what is the strike that this RIC refers to? Is it a rate of 2%? Or is it something else and I have to worry about looking it up?I have seen that from Reuters you get vols for CAPs with strike of 1.25, but I haven't seen any RIC symbol that looks like it contains that strike...Thanks in advance!

miltenpoint · April 10th, 2006, 7:28 am

The RIC US2YCSTK2=ICAP refers to the implied vol rate for the 1.25 strike for USD caps and floors, currently with a vol of 34.1%.Have a look at the matrix on VCAO

miltenpoint · April 10th, 2006, 7:35 am

The number in the RIC is the strike eg US2YCSTK2-ICAP - the 2Y is 2 tear and the "2" after CSTK is the 1.25 strike. CSTK3 would be 1.5, CSTK4 is 2.0, CSTK5 is 3.0, CSTK7 is 5.0 etc

korikancha · April 10th, 2006, 1:28 pm

Thanks for the replies! Next question that comes to mind is, is there a rule to map the RIC to the strike? What I am after is logic that can be written into a program to get the right strike for any currency. Or do I have to "hardcode" this maps for each currency?

miltenpoint · April 10th, 2006, 2:35 pm

I think you need to ask Reuters directly.

korikancha · April 10th, 2006, 2:38 pm

On a related note, how can I find the strikes for the ATM swaptions that are published? E.g., USD3MX3Y=ICAP gives me the vol for a 3MX3Y swaption ATM straddle, but what is the strike? I couldn't find any RIC symbol for this, in contrast to the case of ATM CAPs/FLOORs.Again, thanks for the help!

miltenpoint · April 10th, 2006, 3:20 pm

Its not clear. You can see the matrix on VCAP21 but why not call ICAP and ask them - it's their page. +1 212 815 9361

korikancha · April 10th, 2006, 4:07 pm

I called Reuters and the guy said that the CAP/FLOOR strike is stored in a "General Field" (number 995, if anybody wants to know), but that is only applicable to these RICs (for all currencies, according to him).As for the swaptions, he said that ICAP doesn't provide the strikes to Reuters, so they don't publish them...Next step will be to call ICAP, I guess...Thanks for all the help!