Interpreting Bloomberg Swaption Premium Quotes for Hull–White Calibration
Summary
The document addresses whether a Bloomberg swaption premium quote represents a payer or receiver option when calibrating a Hull–White model. The answer says the cited quote is for a straddle, so its premium combines payer and receiver values. It points to description and quote-monitoring functions as ways to inspect available quote details and instruments, including how the ticker is defined.
It also notes that normal volatility quotes may be more liquid and reliable for calibration than premium quotes, and suggests comparing a working one-factor Hull–White implementation with Bloomberg’s model tools. These are practical platform-specific pointers rather than a general treatment of swaption quote conventions. The discussion does not provide a calibration example, data-quality analysis, or evidence comparing quote liquidity; the convention should therefore be checked for the particular instrument and data source being used.
Key ideas
- The cited Bloomberg premium quote is described as a straddle combining payer and receiver swaptions.
- Instrument description and quote-monitoring functions can help identify quote details and available tickers.
- Normal volatility quotes may be more liquid and reliable than premium quotes.
- A calibrated one-factor Hull–White model can be compared with Bloomberg’s model output.
- The guidance is platform-specific and does not establish conventions for every quote.
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# Question about swaption premium quote on the bloomberg terminal
# Question about swaption premium quote on the bloomberg terminal
This is my first question here and I hope that my question is appropriate.
I have some data about swaptions that are from the bloomberg terminal and basically I am performing a risk-neutral calibration of the Hull-White model on these swaptions. However I don't know if the premiums quoted on the bloomberg terminal are linked to receiver swaptions or payer swaptions.
I don't know if it can help, but the type of the ticker are "EUSPXY" where X is the maturity of the option while Y is the maturity of the underlying swap (example : EUSP0101).
It seems like some details are not shown for those swaptions. For example I had to check manually that the notional was actually 10 000 000, which is the default value.
## Answer by AKdemy (score 6)
https://quant.stackexchange.com/a/71555
> EUSP0101 Curncy DES
Style is Straddle (like almost all premium quoted swaptions - and ATM FX options for example, although the latter is quoted in VOL), thus the quoted premium is the sum of payer and receiver.
Usually quotes would be more liquid and reliable as normal vol (vol quotes) like EUR SWPT NVOL OISv3 1Y1Y {EUNE11 Curncy DES}.
You can look at {ALLQ} to see what quotes you have access to. Also, {VOLS} brings you directly to ICAP where you can find the various types of quotes (Swaptions Vols, Swaption Premium Spot and Fwd etc). Another useful tool is {NSV} where you can go to 92 ) enhanced monitor to have more choices - this tool also shows you the tickers.
BBG also offers a HW1F model in {SWPM} (as well as {DLIB}), so you could compare your results with Bloomberg once you have a working model.
Side remark: if you press F1 F1 on your keybord you reach the help desk where you should get answers a lot quicker usually. They pick up immediately and in this case it is mainly guiding you to the {DES} page.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.