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Parameta Solutions — Model-free implied volatility indices for USD interest rate swaptions (48 liquid option-expiry/swap-tenor combinations), derived from ICAP's US Interest Rate Options Desk swaption prices — a proprietary OTC derivatives pricing/analytics product, not freely available. Large-scale institutional data business: Parameta Solutions is TP ICAP's market-data and analytics arm, with ~200 employees and revenue in the ~$271M range per company profile, serving global capital markets desks. Use cases: Derivatives risk management, interest-rate volatility forecasting, structured-produc…
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1Model-free implied volatility indices for USD interest rate swaptions (48 liquid option-expiry/swap-tenor combinations), derived from ICAP's US Interest Rate Options Desk swaption prices — a proprietary OTC derivatives pricing/analytics product, not freely available
Scale 48 indices published daily since inception ~Jan 3From 9 yearsFormat Tabular
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What does Parameta Solutions do?
Parameta Solutions — Model-free implied volatility indices for USD interest rate swaptions (48 liquid option-expiry/swap-tenor combinations), derived from ICAP's US Interest Rate Options Desk swaption prices — a proprietary OTC derivatives pricing/analytics product, not freely available. Large-scale institutional data business: Parameta Solutions is TP ICAP's market-data and analytics arm, with ~200 employees and revenue in the ~$271M range per company profile, serving global capital markets desks. Use cases: Derivatives risk management, interest-rate volatility forecasting, structured-produc…
What data does Parameta Solutions offer?
Parameta Solutions offers (Price, Alternative) — 48 indices published daily since inception ~Jan 3, 2017 — roughly 9 years of daily history, on the order of 100K+ index data points before counting underlying strike-level inputs.
What is Parameta Solutions's data used for?
Derivatives risk management, interest-rate volatility forecasting, structured-product pricing, model calibration and benchmarking for swaption desks
How is Parameta Solutions's data delivered?
The data is with 9 years of history.
What does Parameta Solutions cover?
Coverage spans US, UK; Financial Exchanges & Data; price, alternative; derivatives, fixed_income.
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