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Basis Curve Data

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Basis Curve Sample Data

FinPricing offers the following curves for various currencies via API:

• OIS curves
• RFR (risk free rate) curves
• SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON 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

Basis curves or basis swap curves are used to price interest rate swaps, caps, floors, and any fixed income products related to interest rate indices. For example, to price 1 month swap, you need 1 month basis curve. Typical basis curves are 1 month, 6 months, 12 months, Prime, FedFun, and OIS.

Normally the curve is divided into two parts. The short end of the term structure is determined by deposit rates, while the far end is given by basis spreads. Basis spread is quoted as the spread over 3 month reference rate.

Most data vendors in the market provide you two separate feeds for deposit rates, basis spreads. Each covers a set of currencies. After reconciliation, you can only find a few useful common subsets. In other words, most data you pay are useless.

Unlike those providers, FinPricing does data collecttion, pre-process, and reconciliation for you. The curves delivered are ready to use. These curves are actually used by our analytic engine. We guaratee they can be successfully bootstrapped and calibrated. A basis curve sample data is shown below:

• Swap rate curves
• SOFR curves
• OIS curves
• interest rate curves
• Inflation swap rate curves
• Forward yield curves
• FX forward curve
• FX vol surface