Coverage
Universe
- Over 270 currency pairs
Correlations
- Historical between 2 currency pairs for a range of tenors for 1M out to 5Y
History
- Up to 20 years
Universe
- Over 270 currency pairs
Correlations
- Historical between 2 currency pairs for a range of tenors for 1M out to 5Y
History
- Up to 20 years
Data Points
- At-The-Money (ATM) Volatilities
- 25-delta Risk Reversals
- 25-delta Butterflies
- 10-delta Risk Reversals
- 10-delta Butterflies
- Forwards
- Deposit Rates
Volatility Surface
- Tenors up to 30 years; ATM Volatilities and from + 5 to 45 delta for Calls & Puts
Data Points
- At-The-Money (ATM) Volatilities
- 25-delta Risk Reversals
- 25-delta Butterflies
- 10-delta Risk Reversals
- 10-delta Butterflies
- Forwards
- Deposit Rates
Volatility Surface
- Tenors up to 30 years; ATM Volatilities and from + 5 to 45 delta for Calls & Puts
*Subject to coverage confirmation by IDD, on an underlying by underlying basis
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
Delivery Methods
- Real time streaming – Volatility surface updated every 5 minutes
- Flat files (via SFTP) with various cut times (intraday or EOD) and supporting XML, CSV and XLS formats