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Basis Data

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Basis Yield 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 are used as forecast curves. For instance, there is an interest rate swap whose floating leg is based on LIBOR 1 month index. Then you need 1 month yield curve to calculate 1 month forward floating rates in order to price this swap.

To construct 1 month yield curve, there are two swap curves needed: base swap rate curve (3 month) and 1 month basis swap curve. A 1 month yield curve constructed using traditional LIBOR discounting 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