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baghead


Total Posts: 861
Joined: Sep 2004
 
Posted: 2007-12-06 15:02

in the spirit of the paper request thread, I thought I might start a data request one.

I'm looking for implied vol data.  daily since Jan '99

SX5E 3m 80%, 90%, 100%, 110%, 120%

obviously these would be interpolated data points, so it would be nice if you let me know your interpolation method.


Jim


Total Posts: 165
Joined: Jun 2004
 
Posted: 2009-09-14 23:51

[I thought I could reuse this thread instead of starting a new one...]

I am looking for monthly origination data on subprime (US) residential mortgages (preferably with a break down by loan type, ie, 2-28, 3-27, fixed rate, ...) .  Anyone out there have this data or could point me to where I could get it?

 


Tradenator


Total Posts: 1571
Joined: Sep 2006
 
Posted: 2009-09-15 02:21
Try here for some free economic data.  They list mortgage as a category under interest rates, but I can't be certain they have exactly what you are looking for.  Hope this helps at least a little.

Jim


Total Posts: 165
Joined: Jun 2004
 
Posted: 2009-09-15 15:27
Thanks for the link.  As you mention, the site has rate data from Fannie Mae, but I couldn't find any origination data.  Thanks anyway.

Martingale
NP House Mouse

Total Posts: 2629
Joined: Jun 2004
 
Posted: 2009-09-15 15:42
Your best shot would be loan performance data, but it is not free.  I am away from mortgages for a while now so there might be some other resources as well.

Jim


Total Posts: 165
Joined: Jun 2004
 
Posted: 2009-09-15 20:08
Thanks for your suggestion.

Graeme


Total Posts: 1629
Joined: Jun 2004
 
Posted: 2009-09-15 20:40

I am looking for true (as opposed to modelled) history of a particular share. Whenever an equity has a major corporate event the data vendors - I'm thinking Bloomberg in particular - backdate the history of the share with a model which coincides with the present and is continuous as we go backwards over the event.

I want the true history - as that name closed on the exchange. In some cases you can work this out by undoing the model, in a case I am faced with right now, it doesn't seem possible (there were two events close to each other, and so the model is more complex - probably rubbish).

Is there a way of requesting the true series from Bloomberg? Or a way to see the model that is being applied? (Warning: I don't have online access to Bloomberg, I get data via excel, blph functions and a friend.)

 


Graeme West

firstqr


Total Posts: 9
Joined: Sep 2009
 
Posted: 2009-09-15 22:51
Have you tried asking directly to the stock exchange where that share is listed? They should have the original data.

Graeme


Total Posts: 1629
Joined: Jun 2004
 
Posted: 2009-09-16 12:52

Luck, eventually. Quoting my contact:

Eventually, the setting is very cryptic as expected in Bloomie-land.

You have to set everything to N on the page DPDF <GO>

Then enter 1<GO>

 


Graeme West

Dimatrix


Total Posts: 539
Joined: May 2006
 
Posted: 2010-11-08 08:45

OK guys, I need some data. I'm analyzing implied vols and need some samples from any asset class but FX. I'm interested in OTC data only. Say maturities of 1m, 6m and 1y on some regular moneyness grid. Some recent data would be nice, a 1y time series is sufficient. Anyone can help? S&P500? Commodities?


Ctrl - L.

Tradenator


Total Posts: 1571
Joined: Sep 2006
 
Posted: 2016-05-20 16:37
Can anyone please hook me up for the following RMBS indices from Barclays. I have an enquiry with them to possibly subscribe but I need the data sooner rather than later, and I am also wary of what it would cost. My email is in my profile and I'm looking to get the total histories, thanks in advance.

Bloomberg codes are:

BFPRPR Index - Barclays UK Prime RMBS AAA Average Price
BFPRSIGH Index - Barclays UK Prime RMBS AAA Since Inception Return Hedged GBP
BFPRSIGU Index - Barclays UK Prime RMBS AAA Since Inception Return Unhedged GBP
BFPRTRGH Index - Barclays UK Prime RMBS AAA Total Return Index Value Hedged GBP
BFPRTRGU Index - Barclays UK Prime RMBS AAA Total Return Index Value Unhedged GBP

Rookie_Quant


Total Posts: 729
Joined: Jun 2004
 
Posted: 2016-06-10 05:07
@tradenator, do you still need this... there is a 20% chance I have these indexes.

"These metaphors and similes aint similar to them, not at all." -Eminem

Tradenator


Total Posts: 1571
Joined: Sep 2006
 
Posted: 2016-06-10 07:32
No, I have the data I need now. Thank you very much, though.

Rookie_Quant


Total Posts: 729
Joined: Jun 2004
 
Posted: 2016-06-10 07:58
Ok. glad you got it. Maybe next time.

"These metaphors and similes aint similar to them, not at all." -Eminem
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