FINCAD organizes market data from most of the world's exchanges and OTC markets. Value-added data sets such as interest rates curves, forward price curves and volatility surfaces for current and historical dates are also included. Custom VaR data sets are also calculated. Financial market data is continuously added to the system.
Market data is ready-to-use via your web browser, Microsoft Excel, XML or any application that you build using Microsoft Visual Studio. Support for complementary integration with other market data sources is also enabled. Management of bootstrapped swap curves, bond curves and spread adjusted curves is supported.
Current & Historical Market Data
The FINCAD Market Data team has created a number of interest rate curves, fx rates, commodities and interest rate volatilities that are used in the valuation of the various trades and instruments.
Interest Rate Curves
At the present, FINCAD provides interest rate curves for the following countries:
- Australian swap curve
- Canadian swap curve
- Switzerland swap curve
- Denmark swap curve
- Euro swap curve
- GBP swap curve
- Japanese swap curve
- Norwegian swap curve
- New Zealand swap curve
- Swedish swap curve
- US treasury curve
- USD swap curve
- FX Rates
The following is a list of spot fx rates included in the system:
- USD rates
- AUD rates
- CAD rates
- CHF rates
- DKK rates
- EUR rates
- GBP rates
- MXN rates
- JPY rates
- NOK rates
- NZD rates
- SEK rates
Commodities
We provide the following types of commodity data:
- USD ALUMINUM
- USD COPPER
- USD CRUDE OIL
- USD GOLD
- USD NYM-HEATING OIL
- USD NYM-NATURAL GAS
- USD NYM-PROPANE GAS
- USD NYM-UNLEADED GAS
- USD PALLADIUM
- USD PLATINUM
- USD SILVER
- USD WHEAT
Interest Rate Curve Volatilities
The type of volatility data used in swaption, option and caps/floors calculations provided by the system include the following:
- CHF IR volatilities
- DKK IR volatilities
- EUR IR volatilities
- GBP IR volatilities
- JPY IR volatilities
- SEK IR volatilities
- USD IR volatilities
Equities
Prices from multiple international exchanges can be made available upon request.
Market Data Manufacture
The Quote Data Sources and the Data Providers used by FINCAD's Market Data team to build the curves used in the system are listed below.
Quote Data Sources
The following data sources are only some of the sources used in the system:
- Sovereign
- CSFB
- NYMEX
- CBOT
- Garban Intercapital
- Harlow Butler
- BBA
- Data Providers
The following is a short list of the more than 150 exchanges used to obtain market data:
- CBOE Chicago Board Options Exchange
- CBOT Chicago Board of Trade
- LIFFE London International Futures and Options Exchange
Contact Us
For more information about Market Data, contact us.