Finding Example Swaption Data for Valuation Research
Summary
The document discusses where researchers might obtain sample or market data for swaption valuation, focusing on the difficulty of finding free public data for these over-the-counter instruments. Suggested sources include examples bundled with textbooks or published papers, and the documentation for an RQuantLib function covering Bermudan swaptions. It also suggests that a broker relationship may be necessary to access actual market observations.
For students and academics, one response describes requesting data through a practitioner community, provided the request clearly specifies the instrument series, ticker, and historical period needed. A free market-data API is mentioned as another possibility, though the responder doubts it will include the desired swaption data. The replies offer leads rather than verified datasets, and they do not provide sample market prices or assess data quality, licensing, coverage, or suitability for calibration. Researchers should therefore treat these as starting points and confirm that any obtained data matches their instrument and valuation requirements.
Key ideas
- Free, publicly available swaption market data may be difficult to locate.
- Textbooks, published research, and software documentation can provide isolated examples.
- Broker relationships may be needed to obtain actual OTC market observations.
- Academic data requests should specify the instrument series, identifier, and time period.
- Potential sources require verification for coverage, quality, licensing, and valuation relevance.
Tags
Full text
# Free data on swap options # Free data on swap options I am trying to analyze valuation methods for swaptions. Does anyone know of free example data for these OTC-traded securities? ## Answer by Joshua Ulrich (score 7, accepted) https://quant.stackexchange.com/a/446 I agree with Shane; I seriously doubt you're going to find publicly available swaption data for free. You might get some sample data with a textbook, or from a published journal article. If you only need one example, you can find one in the documentation for the `BermudanSwaption` function in the RQuantLib R package. ## Answer by Shane (score 7) https://quant.stackexchange.com/a/442 I will go out on a limb and say that this doesn't exist, unless you have a good relationship and can get some from your broker. ## Answer by Andy Nguyen (score 6) https://quant.stackexchange.com/a/452 Just for future reference, if you are student or academic, you can request for market data on http://www.quantnet.com/forum/. Many of our members are Wall Street practitioners and as a policy, they will provide such data to help with your research (hence students/academic only). I have been the conduit for many of such transaction in the past. You will need to be precise about the type of data you need (series, ticker name, timeline, etc). These helpers are not going to waste their time if you have no clue on what data you need. ## Answer by Jack Anderson (score 1) https://quant.stackexchange.com/a/18135 I think barchart just released a free market data api, but I doubt it has what your looking for.... freemarketdataapi.barchartondemand.com ## Answer by quant_dev (score 0) https://quant.stackexchange.com/a/448 You can try begging for them, if you're an academician.
Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.