Understanding Market Data

In this series of articles I will go through various market data elements that are used in capital markets (trading, pricing and analytics).

Before we get into market data, we need to understand how financial instruments are organized with identifiers. We usually call it as Reference Data. Reference Data contains various financial instruments, their ids, entities behind them and all other information that is needed by the firm. It is not necessary that all firms will maintain all instruments and all details. Based on the business nature of the firm, they maintain only required details of the financial instruments.

First, let us understand how various financial instruments are named and organized. The following articles give you some insight into it.

In the following articles, I have explained market data related to different instruments and markets.

The following item are used across the board either directly or indirectly. I am planning to add a topic for each item. You will see a link when more details are added on that topic.

  • Interest Rates
    • Yield Curve – Treasury Rates
    • Zero Coupon Rates
  • Currency Rates /FX Prices
  • Spot Prices
  • Futures Prices
  • Equity Markets – Equities, Listed Options & Futures
    • Stock Prices (closing prices)
    • Index
    • Dividends
    • Option Prices
    • Repo Margins
    • Security Volatility
    • Option and Futures Volatility
  • Fixed Income and Interest Rate Products (Bonds, Bond Futures and Options)
    • Bond & future volatility
    • Bond Spreads
    • Bond Repo margins
    • Bond Future price factors
  • Credit Derivatives
    • Loan Prices
    • CDS Spreads / Credit Curves
    • Recovery Rates