SD-Market Data for interest rates includes volatility data, yield curve, inflation curve, BMA, basis spread and IONIA curve data and correlation data.

Volatility data for swaptions includes ATM forwards, collars and strangles prices for a very dense set of expirations from 1 day to 30 years and swap length from 1 year to 30 years. Volatility data for caps and floors include ATM volatility and collars and strangles with maturity from 1 week to 30 years and information about the first 3 caplets which includes ATM volatility and collars and strangles of caplets. The caplets/floorlets volatilities are amalgamated from OTC prices and exchange traded futures options.

Information about the yield curve includes deposit rates, FRAs, futures and swaps; information about the inflation curve include inflation swaps; and information about the yield curve correlations is obtained from OTC prices of CMS spread options.

SD receives direct market data feeds from liquidly traded instruments on exchanges worldwide and contributed market rates from the OTC market. SD interprets received data according to accepted market conventions and then combines and validates the data to create a single reliable term structure. 

Typical number of sources for SD-Market Data for interest rates per instrument:

G7:

• Depo rates:  6-20 sources
• Swaps: 10-20 sources
• FRAs: 10-20 sources
• Basis spread: 6-10 sources
• Inflation swaps: 4-8 sources
• MBA spread: 4-8 sources
• IONIA spread: 4-8 sources
• Swaptions ATM volatility: 12-18 sources
• Swaptions collars and strangles: 6-10 sources
• Caps/floors ATM volatility: 15-20 sources
• Caps/floors collars and strangles: 12-18 sources
• Caplets volatility: 8- 12 sources
• Caplets collars and strangles: 4-9 sources

Emerging markets:

• Depo rates:  6-14 sources
• Swaps: 5-12 sources
• FRAs: 4-8 sources
• Basis spread: 3-5 sources
• Inflation swaps: 4-8 sources
• Swaptions ATM volatility: 6-12 sources
• Swaptions collars and strangles: 4-7 sources
• Caps/floors ATM volatility: 6-11 sources
• Caps/floors collars and strangles: 6-11 sources
• Caplets volatility: 5- 8 sources
• Caplets collars and strangles: 4-6 sources