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Fixed Income Data | Derived

IRD - Swaps - Swaption Volatility Cubes

Derived swaption volatility cubes for interest rate derivatives, supporting pricing, volatility and risk analysis.

  1. Key facts
  2. Overview
  3. Description
  4. Access
  5. All categories
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Key facts for IRD - Swaps - Swaption Volatility Cubes

Coverage metric

Geography:
North America, Asia / Pacific, EMEA, Latin America and the Caribbean
History:
From 2012
Coverage count:
Asset Classes - 37000 RICs
Asset Class
Interest Rate Derivatives, FX & Money, Fixed Income

Delivery metadata

Data Frequency
Real‑Time
Language
English
Delivery methods:
Excel, Deployed/Onsite Servers, API, Web Service, Cloud, Desktop, FTP, Bulk, Website
Data formats:
PDF, GZIP, XML, JSON, CSV, Text, Python, HTML, Bitmap, MPEG, User Interface, PCAP
Minimum service frequency
Real‑Time

Overview of IRD - Swaps - Swaption Volatility Cubes

Built for Model Calibration

Swaption Volatility and Analytics Workflows

Comprehensive swaption volatility surface coverage across global interest rate markets

Gain deeper insights into volatility trends and market expectations

Drive confident decision-making with trusted analytics and flexible data delivery

Swaption Volatility Surfaces

Swaption Vol Cube Content

Real-time updates to swaption volatility skews for a list of currencies

Swaption skews are generated using the inputs caps/floor, swaption ATM vols and swaps zero data

Swaption vol cube data are available real time and historically

Evaluate Interest Rate Volatility

Comprehensive Swaption Vol Cube Coverage

Delivers a comprehensive view of interest rate volatility expectations across the swaption market

Enables deeper analysis of volatility dynamics and market sentiment

Supports pricing, risk management, and volatility trading workflows

Description of the dataset

  • LSEG provides benchmark-quality implied volatility cubes for European swaptions on interest rate swaps. We support pricing, risk management and model calibration across major interest rate derivatives workflows.
  • Our volatility cubes span option expiries, underlying swap tenors and strike or delta dimensions by currency and underlying index. LSEG delivers both Black and normal Bachelier volatility representations to support different market quoting and modelling approaches.
  • We include SABR smile parameters and calibration metrics to help customers evaluate curve and smile consistency. LSEG enriches the analytics with market conventions such as day count, business calendars and quoting bases.
  • Our structured cube design enables consistent integration into valuation libraries, risk engines and trading analytics. LSEG helps customers maintain comparable swaption volatility surfaces across currencies, expiries and underlying swap maturities.

Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

Yield Book
LSEG Yield Book provides fixed-income data and analytics for security, portfolio and benchmark analysis across global markets. It supports risk measures, scenario analysis, cash-flow modelling and historical analysis for products including government and corporate bonds, mortgages and structured credit. Access is available via web applications and via API integration into client systems.

All categories

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