https://github.com/yieldcurvemonkey/volcube420
SOFR OIS Swaption Vol Cube Data
https://github.com/yieldcurvemonkey/volcube420
Last synced: 3 months ago
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SOFR OIS Swaption Vol Cube Data
- Host: GitHub
- URL: https://github.com/yieldcurvemonkey/volcube420
- Owner: yieldcurvemonkey
- Created: 2024-12-18T03:39:50.000Z (6 months ago)
- Default Branch: main
- Last Pushed: 2025-01-13T20:50:27.000Z (5 months ago)
- Last Synced: 2025-02-13T20:17:11.017Z (4 months ago)
- Size: 17.1 MB
- Stars: 0
- Watchers: 1
- Forks: 1
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
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README
# VolCube420
- SOFR OIS (BBG ICVS 490 curve) Swaption Volatility Cube Data
- Data sourced from mix of different brokers and proprietary markings from the DTCC SDR
- NY EOD marks
- All in Normal Vol - thats current practice, divide by sqrt(252) for bpvol/daily vol
- ATMF Stike Offsets (bps): `[-200, -100, -50, -25, -10, 0, 10, 25, 50, 100, 200]`
- SABR Model calibrated using [Differential Evolution](https://en.wikipedia.org/wiki/Differential_evolution) with a Residual Sum of Squares objective function and a refinement using simple Gauss-Newton to minimize the weighted root mean square error in implied volatilities as described in `Le Floc’h` + `Kennedy`'s [Explicit SABR Calibration through Simple Expansions](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2467231)
- [Bilinear interpolation](https://en.wikipedia.org/wiki/Bilinear_interpolation) in log-space (to avoid negative vols when extrapolating) is used
- `\atm_timeseries` is daily timeseries data of ATMF normal vol quotes in annual json files w/ type `Dict[datetime.strftime("%Y-%m-%d"), List[Dict[str, float]]]`
- Schema for EOD JSON file:
```json
{
"$schema": "http://json-schema.org/draft-07/schema#",
"title": "Swaption Volatility Cube",
"description": "A schema for validating swaption volatility cube data where keys represent strike offsets from the at-the-money forward (ATMF).",
"type": "object",
"patternProperties": {
"^-\\d+$": {
"description": "Strike offsets from the at-the-money forward (ATMF) in basis points. Keys are negative for strikes below ATMF.",
"type": "array",
"items": {
"type": "object",
"properties": {
"Option Tenor": {
"type": "string",
"description": "The tenor of the option (e.g., '1M', '3M', '6M', '1Y', etc.)."
},
"1Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 1-year maturity."
},
"2Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 2-year maturity."
},
"3Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 3-year maturity."
},
"4Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 4-year maturity."
},
"5Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 5-year maturity."
},
"6Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 6-year maturity."
},
"7Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 7-year maturity."
},
"8Y": {
"type": "number",
"description": "Normal Volatility value for a swap with an 8-year maturity."
},
"9Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 9-year maturity."
},
"10Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 10-year maturity."
},
"15Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 15-year maturity."
},
"20Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 20-year maturity."
},
"25Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 25-year maturity."
},
"30Y": {
"type": "number",
"description": "Normal Volatility value for a swap with a 30-year maturity."
}
},
"required": ["Option Tenor"],
"additionalProperties": false
}
}
},
"additionalProperties": false
}
```