In the Historical Analysis Page in Section 1 for the IR asset you can chart any of the following types of historical data (or parameters) for the currency you specify in the Underlying column:
Forward rates
This plots the forward rates on each day in the defined period.
A forward rate is the implied interest rate for a specific interval of time starting at a specific point in the future. So if you enter 6M1Y, for each date in the chart you see the 1 year interest rate in 6 months time.
Cash rates
This plots the cash rates on each day in the defined period.
A cash rate is the interest rate for a short maturity, up to 1 year.
Swap rates
This plots the fixed (or swap) rate for a swap of a defined term on each day in the defined period. For example, you can plot the fixed rate for a 2-year swap over the last three years.
OIS rates
This plots the OIS swap rates for a specific tenor on each day in the defined period.
Inflation rates
This plots the inflation rates for a specific tenor. This data is taken from the inflation curve for the selected currency and index.
Swaption implied volatility
This plots the mid-market implied volatility at a certain strike for a certain swaption expiry and swap duration on each day in the defined period. So if you define ATM 1Y2Y, you see the implied volatility at the ATM strike for a swaption that expires in 1 year and whose underlying swap has a 2-year duration.
You can plot either the log normal volatility (LogNorm) or the normal volatility (NormVol).
You can choose to use either of the following strikes:
The ATM strike (or forward rate).
The strike that is a given width (measured in basis points) from the ATM strike in the underlying swaption volatility surface. If you use the bp over the ATM vol option, this takes the strike at the defined basis points above the ATM strike; if you use the bp below the ATM vol option, this takes the strike at the defined basis points below the ATM strike.
Swaption collar (Vol)
This plots the difference between the mid-market implied volatility at the two collar points for a certain swaption expiry and swap duration on each day in the defined period.
You define the collar points as a spread around the ATM strike (or forward rate). So if you define 50, one collar point is 50 basis points above the ATM strike and one is 50 basis points below the ATM strike.
You can plot either the log normal volatility (LogNorm) or the normal volatility (NormVol).
Swaption strangle (Vol)
This plots the average of the mid-market implied volatility at the two strangle points for a certain swaption expiry and swap duration on each day in the defined period.
You define the strangle points as a spread around the ATM strike (or forward rate). So if you define 50, one strangle point is 50 basis points above the ATM strike and one is 50 basis points below the ATM strike.
You can plot either the log normal volatility (LogNorm) or the normal volatility (NormVol).
Cap implied volatility
This plots the implied volatility for a specific strike for a specific expiry on each day in the defined period.
You can choose to use either of the following strikes:
The ATM strike (or forward rate).
The strike that is a given width (measured in basis points) from the ATM strike in the underlying Cap/floor volatility surface. If you use the bp over the ATM vol option, this takes the strike at the defined basis points above the ATM strike; if you use the bp below the ATM vol option, this takes the strike at the defined basis points below the ATM strike.
Cap collar (Vol)
This plots the difference between the implied volatility at the two collar points for a specific strike for a specific expiry on each day in the defined period.
You define the collar points as a spread around the ATM strike. So if you define 50, one collar point is 50 basis points above the ATM strike and one is 50 basis points below the ATM strike.
Cap strangle (Vol)
This plots the average of the mid-market implied volatility at the two strangle points for a specific strike for a specific expiry on each day in the defined period.
You define the strangle points as a spread around the ATM. So if you define 50, one strangle point is 50 basis points above the ATM strike and one is 50 basis points below the ATM strike.
Futures
This plots the price of the chosen future.
Swap historical volatility or Cash historical volatility
This plots the volatility based on historical swap rates or historical cash rates.
It is a measure of how volatile the defined swap rate or cash rate has been over the last trading days (which you specify in the Term column). It is an annualized standard deviation of price changes expressed as a percentage.
For each time series of historical volatility, you must also specify the:
Frequency
Specifies the return period (in terms of business days). You can specify frequencies of 1d, 2d, 3d, 4d or 5d. For example, if you specify, a frequency of 1 day, then the calculation of volatility for each day is based on the difference between the swap/cash rate on that day and the swap/cash rate on the previous business day. If you instead set the frequency to 2 days, then the calculation of volatility for each day will be based on the difference between the swap/cash rate on that day and the swap/cash rate on the date that is two business days prior to it.
Term
Defines the number of samples taken when calculating historical volatility, and is therefore the averaging period. For example, if you specify 3m, each point plotted on the chart will indicate how volatile the defined market data was over the three months up to that date; if you specify 1y, each point plotted on the chart will indicate how volatile the defined market data was over the year up to that date. You set the term by selecting the supported values in the dropdown list.