Swap Curve

FinPricing offers:

Four user interfaces:

  • Data API.
  • Excel Add-ins.
  • Model Analytic API.
  • GUI APP.

Yield Curve and Swap Curve

FinPricing offers the following curves for various currencies via API. All the interest rate curves have data points up to 50 years.

  • OIS curves
  • RFR (risk free rate) curves
  • IBORs (LIBOR, EURIBOR, TIBOR, CDOR, EONIA, etc.) fallback rate curves
  • Swap rate curves
  • Basis curves
  • Spot rate or zero rate curves
  • Forward rate curves
  • Discount curves
  • Inflation Swap rate (CPI, RPI, HICP) curves
  • Nordic electricity futures curve
  • VIX futures curve
  • S&P 500 futures curve
1. Swap Curve Introduction

Interest rate curves have many different types. Sometimes they are quite confusing. There are two main categories in the market: market observed interest rate curves and derived interest rate curves.

Market observable interest rate curves are mainly swap curves and bond curves. They consist of market observable quotations, such as bond prices, swap rates, basis swap spreads, interest rate futures prices, or deposit rates. Bond curves are the term structure of market quoted bond prices, while swap curves are the term structures of swap rates, basis swap spreads, or Eurodollar futures. Swap curves can be futher divided into base swap curves and basis swap curves. Normally the 3 month swap curve is the base curve as all the basis curves are quoted against it. The market observable curves cannot be used for valuation directly. Thus they need to be bootstrapped into the derived curves that are essential for asset pricing.

Derived interest rate curves are mainly yield curves. Yield curve is the term structure of interest rate yields-to-maturity. Yield curve is widely regarded as the best proxy for risk-free curve and benchmark curve. Liquidity of underlying instrumennts is crucial. Since the swap market is a very liquid market with narrow bid-ask spreads and a wide selection of maturities, yield curves derived from swap curves offer several advantages over government curves (e.g., treasury yield curve). With the supply of government bond issues declining, yield curves are mainly bootstrapped from swap curves.

Zero rate curves, also called spot rate curves, are special and dominant type of yield curves. By definition, a zero rate curve is the term structure of the yields-to-maturity of zero coupon bonds. Given a zero rate, we can derive discount factor easily as:

D(t,T) = exp (-rT)

where D(t,T) is the discount factor at time t for maturity T and r is the continuously compounded zero rate or spot rate between time t and T.

Due to the simple relationship between zero rates and discount factors, zero rate curves become dominant valuation vehicle in the market. If people in financial market talk about interest rate curves, yield curves, zero rate curves, or spot rate curves, they actually mean the same thing. Without loss of generality, we will use zero rate curves representing all yield curves. Zero rate curves also have several different types. A zero curve derived from a base swap rate curve is used for discounting, so it is equivalent to discount curve. Similarly, a zero rate curve bootstrapped from a basis swap curve is used to compute forecasting rates. Understanding interest rate curves is essential in financial markets.

2. Swap Curve Data

FinPricing provides more than 100 swap rate curves. The most commonly used swap curves are SOFR, LIBOR, ESTR, EURIBOR, OIS curves displayed below:

SOFR Swap Curve:

  ValuationDate     Instrument     Tenor     Type     Value  
2023-01-18USD.SOFR.30YR 30YR Swap2.88985
2023-01-18USD.SOFR.3WK 3WK Swap4.42412
2023-01-18USD.SOFR.4YR 4YR Swap3.35453
2023-01-18USD.SOFR.40YR 40YR Swap2.67518
2023-01-18USD.SOFR.5YR 5YR Swap3.21542
2023-01-18USD.SOFR.50YR 50YR Swap2.46311
2023-01-18USD.SOFR.6YR 6YR Swap3.14085
2023-01-18USD.SOFR.7YR 7YR Swap3.09991
2023-01-18USD.SOFR.8YR 8YR Swap3.07653
2023-01-18USD.SOFR.9YR 9YR Swap3.06922
2023-01-18USD.SOFR.1MO 1MO Swap4.48735
2023-01-18USD.SOFR.2MO 2MO Swap4.54812
2023-01-18USD.SOFR.3MO 3MO Swap4.63321
2023-01-18USD.SOFR.4MO 4MO Swap4.69833
2023-01-18USD.SOFR.5MO 5MO Swap4.74211
2023-01-18USD.SOFR.6MO 6MO Swap4.77626
2023-01-18USD.SOFR.9MO 9MO Swap4.82051
2023-01-18USD.SOFR.1DY 1D Cash4.31016
2023-01-18USD.SOFR.12MO 12MO Swap4.78401
2023-01-18USD.SOFR.10YR 10YR Swap3.06995
2023-01-18USD.SOFR.12YR 12YR Swap3.08309
2023-01-18USD.SOFR.15YR 15YR Swap3.10302
2023-01-18USD.SOFR.18MO 18MO Swap4.44481
2023-01-18USD.SOFR.1WK 1WK Swap4.31235
2023-01-18USD.SOFR.2YR 2YR Swap4.08508
2023-01-18USD.SOFR.20YR 20YR Swap3.07865
2023-01-18USD.SOFR.25YR 25YR Swap2.98435
2023-01-18USD.SOFR.2WK 2WK Swap4.33431
2023-01-18USD.SOFR.3YR 3YR Swap3.60507

3-Month LIBOR Swap Curve:

  ValuationDate     Instrument     Tenor     Type     Value  
2023-01-18USD.QT.3MO 3MO Cash4.72976
2023-01-18USD.QT.50YR 50YR Swap2.73604
2023-01-18USD.QT.6YR 6YR Swap3.42161
2023-01-18USD.QT.7YR 7YR Swap3.38175
2023-01-18USD.QT.8YR 8YR Swap3.35815
2023-01-18USD.QT.9YR 9YR Swap3.35125
2023-01-18USD.QT.1F 1F Future94.983
2023-01-18USD.QT.5F 5F Future96.082
2023-01-18USD.QT.10YR 10YR Swap3.35291
2023-01-18USD.QT.11YR 11YR Swap3.35762
2023-01-18USD.QT.12YR 12YR Swap3.36511
2023-01-18USD.QT.15YR 15YR Swap3.38665
2023-01-18USD.QT.2YR 2YR Swap4.35441
2023-01-18USD.QT.20YR 20YR Swap3.361653
2023-01-18USD.QT.2F 2F Future94.961
2023-01-18USD.QT.6F 6F Future96.582
2023-01-18USD.QT.3F 3F Future95.095
2023-01-18USD.QT.4F 4F Future95.485
2023-01-18USD.QT.25YR 25YR Swap3.26825
2023-01-18USD.QT.3YR 3YR Swap3.88016
2023-01-18USD.QT.30YR 30YR Swap3.17435
2023-01-18USD.QT.4YR 4YR Swap3.63413
2023-01-18USD.QT.40YR 40YR Swap2.95841
2023-01-18USD.QT.5YR 5YR Swap3.49621

Swap curves can be categoried into swap rate curves, basis curves, and OIS curves. Usully a swap rate curve is also called a base curve or standard curve or 3 month swap curve. The reason for calling 3 month curve as base curve is all the other (basis) curves are quoted against it.

Swap Rate Curve

The swap rate curve consists of a set of the most liquid and dominant interest rate products for certain time horizons. Normally the curve is divided into three parts. The short end of the term structure is determined by deposit rates. The middle part of the curve uses Eurodollar futures or FRAs. The far end is given by mid swap rates.

Basis Curve

The market quote of a basis spread is the spread over the associated 3 month reference rate. Typical basis curves are 1 month, 6 months, 12 months, Prime, FedFun, and OIS.

Check 1 month basis curve sample data here.

OIS Curve

In 2017 financial crises, people realized that credit risk is not negligible. Since then, OIS curves became the market standard for discounting collateralized products. The reason often given for using the OIS zero rate as the discount rate is that it is derived from the Fed funds rate and the Fed funds rate is the interest rate usually paid on collateral. As such the Fed funds rate and OIS rate are the relevant funding rates for collateralized transactions. A typical OIS basis curve looks like:

Check OIS curve sample data here.

3. Yield Curve Data

Most commonly used yeld curves, called zero rate curves, are derived from swap curves. The zero rate curves are the benchmark interest rate curves and funding curves in the market.

LIBOR Yield Curve for Discounting

A yield curve or zero rate curve derived from a base swap rate curve is used for LIBOR discounting in the market. Therefore, it is equivalent to discount curve.

Check Libor yield curve.

One Month Yield Curve

Basis yield curve bootstraped from basis swap curve can be used to calculate forecasting float rate.

Check Basis yield curve.

OIS Yield Curve

OIS yield curve is the new market standard for discounting.

Check OIS yield curve.

4. Related Topics