Interest Rate Swap Volatility Indices

Product highlights:

• Reference index/benchmark for implied Interest Rate Swap Volatility in EUR and GBP

• Distils information content of ATM and OTM interest rate swaptions into a single measure of implied volatility for each index

• Model-free index calculation methodology is based on academic research¹

• Extensive coverage across the short- and long- swap tenor and option expiry combinations

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Parameta IRSV Factsheet

IRSV Index Methodology

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