Request for market swaptions volatility

[Syle]

Hi,

For my credit & interest rate risk course I am calibrating and modeling the G2++ short rate model. Using quantlib, I found that it is usually calibrated with swaption volatilities. Saw on a stackexchange post that some kind persons can provide such data here, given that it is pretty much impossible to find it online, for educational purposes only. My index is the eurlibor 3M.

Thank you very much.

Source: python quantlib g2++ calibration Short Interest Rate Model Calibration in QuantLib Python

 

[Andy Nguyen]

@Ken Abbott
Do you know any data source for this? Thanks

 

[Ken Abbott]

I believe that Bloomberg has swaption vol data.

 

[KillingField]

Why would you use an esoteric index like EURLIBOR 3M? As discussed in Swaptions data, some vol data is freely available (for USD).

 

[Syle]

It is the index we were assigned. Thank you for the link, I'll try it out with the CME data!

 

[Ken Abbott]

Confirmed. I finally got access to Bloomberg at home and they have implieds going back years.