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Total Posts: 868
Joined: Sep 2004
Posted: 2017-07-24 11:22
Apologies for the rookie question, but could anyone point me towards a source for daily settlement prices or any sort of mid market indication for Euribor caps and floors? Google search didn't lead to anything...



Total Posts: 274
Joined: Oct 2004
Posted: 2017-07-24 11:31
To be fair as it is going to be model dependant I imagine you could use a bank's tool to get that data?
I think the Citi tool as decent backwards data.

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne


Total Posts: 866
Joined: Oct 2008
Posted: 2017-07-24 12:13
Caps and floors?

Those are OTC, obviously. They're marked-to-model, which is calibrated to the mkt data available for a variety of benchmark tenors and strikes. You should be able to find that data on BBG or Reuters (provided by ICAP, for example).

If you want to price these free-form, you can use some of the dealer tools or multi-dealer platforms, such as SuperDerivatives, as suggested by the previous poster. BBG can price as well, although it's had issues with these before.

Insofar as I may be heard by anything, which may or may not care what I say, I ask, if it matters, that you be forgiven for anything you may have done or failed to do which requires forgiveness...


Total Posts: 455
Joined: May 2006
Posted: 2017-07-24 16:38
If you need an independent source, I second ICAP. But of course what ICAP quote for trading today (yesterday) generally won't match an outstanding contract - at the minimum, reset dates will be off, accrued won't be zero etc.

The contract always specifies who the calculation agent is. If it is not you and you disagree with the calculation, you can always challenge it with the calculation agent. And if you can't resolve it, you can take the agent and/or the counterparty to court. I think there were a couple of cases like that in the past - exaggerated valuation to draw in collateral as cheap funding. Hard to get away with these days.

"There is a SIX am?" -- Arthur


Total Posts: 868
Joined: Sep 2004
Posted: 2017-07-25 16:31
Thanks, guys. Appreciate the comments.


Total Posts: 10
Joined: May 2018
Posted: 2018-05-22 11:26
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