Parameta Solutions, in partnership with ICAP G10 Rates, has launched a family of interest rate swap volatility indices designed to enhance the investment decision making of market participants and the assessment of investment risk.
Fed with input data and analytics from interdealer broker ICAP across a range of interest rate products, the IRSV indices should provide market participants with a forward-looking volatility measure for some of the most liquid option expiry, swap tenor combinations in EUR and GBP interest rate swap markets.
Anand Venkataraman, head of benchmark and indices product management at Parameta, says, “IRSV indices are built on a theoretical foundation for measuring interest rate swap volatility, providing market participants with a model-free measure of spot implied volatility in the world’s major interest rate swap markets.
“Predictive power of model-free implied volatility estimates have been shown to have superior predictive power over other commonly used volatility forecasting measures. Such an approach to create IRSV indices will be able to assist market participants with accurate interest rate volatility measures, both when making investment decisions and when measuring investment risks.”
Will Ferguson, senior managing director, ICAP G10 Rates, adds the IRSV indices borne out of the firm’s partnership with Parameta will facilitate new liquidity opportunities. “Central banks hiking policy rates rapidly from near zero levels to combat rising inflation, and uncertainty driven by other regional events has created opportunity and volume in our interest rates business,” he says.
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