Refinitiv Euro Swaptions Volatility Estimates Average
Weighted average of the 2 years, 5 years, 10 years, and 30 years Refinitiv Euro 3M ATM Swaption volatility estimates
Merrill Lynch US Swaptions Volatility Estimate
NIKKEI Volatility Index
AE = Advanced economies ex-U.S., such as the eurozone and Japan BoA = Bank of America CBOE = Chicago Board Options Exchange CEMBI = Corporate Emerging Markets Bond Index EM = Emerging markets EMBI = Emerging Market Bond Index EONIA = Euro OverNight Index Average EUR = Euro EURIBOR = Euro InterBank Offered Rate HY = High yield ICE = Intercontinental Exchange
IG = Investment grade JPY = Japanese yen LIBOR = London Interbank Offered Rate MSCI = Morgan Stanley Capital International OAS = Option-adjusted spread OIS = Overnight indexed swap P/B Ratio = Price-to-book ratio (value-weighted) USD = U.S. dollar
Note: All series are pulled from Datastream by Refinitiv.
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