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Model-free implied volatility indices for USD interest rate swaptions

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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

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Coverage

Universe, instruments and categories.

Industry
Financial Exchanges & Data
Instruments
derivativesfixed_income
Categories
PriceAlternative
Regions
USUK
Sample tickers
JPMGSMSCBCS

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