ICE Data Derivatives’ independent OTC interest rates derivatives data is sourced from a variety of contributors across brokers, dealers and market making banks. Our market-calibrated data set is scrubbed, normalized and based on current dynamic market consensus versus a general average to help support your trading, regulatory and risk management needs.

Coverage

Model

  • SABR

Universe

  • Up to 60 currencies

History

  • 8 to 10 years

Coverage

  • Yield Curves
  • Basis Swaps
  • Cross Currency Swaps
  • Swaption Volatility Surfaces
  • Cap/ Floor & Caplets/ Floorlets Volatility Surfaces
  • Implied Correlation
  • Deposit Rates

*Historical data before 2016 is based on prior VRF model


Delivery Methods

  • Real time streaming - Volatility surface updated every 15 minutes
  • Flat files (via SFTP) with various cut times (intraday or EOD) and supporting XML, CSV and XLS formats

Multiple Use-cases

Real-time, end-of-day and historical market and derived data combined with pre-trade price discovery, valuation and risk analytics to help financial services firms across the front, middle and back office.

Front Office

  • Real-time market data to help support your trading ideas, pricing and trade execution
  • Can help you build strategies and market views to manage company or customer positions
  • Supports construction of complex structured products based on market and customer needs
  • Assists quantitative research with pricing models and derived data for risk analysis

Middle & Back Office

  • Supports the risk management workflow to manage market, credit and operational risk
  • Assists in managing trade valuations, MTM and Greeks calculations