Yield Data
FinPricing offers:
Four user interfaces:
- Data API.
- Excel Add-ins.
- Model Analytic API.
- GUI APP.
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
Yield curve or zero rate curve plays an essential role in asset valuation and risk management. A zero rate curve can be easily converted into a discount curve, or vice verse. Given a continuously compounded yield rate, the discount factor is derived 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.
Yield curve is bootstraped from a swap curve. A yield curve constructed using traditional LIBOR discounting is shown below:
| Valuation Date | Maturity Date | Zero Rate | Discount Factor |
|---|---|---|---|
| 2022-11-29 | 2022-12-02 | 3.85298 | 0.999683 |
| 2022-11-29 | 2022-12-08 | 3.85162 | 0.999051 |
| 2022-11-29 | 2022-12-15 | 3.84934 | 0.998314 |
| 2022-11-29 | 2022-12-22 | 4.02053 | 0.99747 |
| 2022-11-29 | 2023-01-03 | 4.15295 | 0.996026 |
| 2022-11-29 | 2023-02-01 | 4.27095 | 0.992539 |
| 2022-11-29 | 2023-03-01 | 4.42600 | 0.988906 |
| 2022-11-29 | 2023-04-03 | 4.53811 | 0.984579 |
| 2022-11-29 | 2023-05-01 | 4.61674 | 0.980834 |
| 2022-11-29 | 2023-06-01 | 4.68760 | 0.976646 |
| 2022-11-29 | 2023-07-03 | 4.73527 | 0.972367 |
| 2022-11-29 | 2023-08-01 | 4.76977 | 0.968491 |
| 2022-11-29 | 2023-09-01 | 4.79426 | 0.964397 |
| 2022-11-29 | 2023-10-02 | 4.81074 | 0.960345 |
| 2022-11-29 | 2023-11-01 | 4.82193 | 0.956456 |
| 2022-11-29 | 2023-12-01 | 4.82107 | 0.952681 |
| 2022-11-29 | 2024-06-03 | 4.68590 | 0.931587 |
| 2022-11-29 | 2024-12-02 | 4.42895 | 0.914787 |
| 2022-11-29 | 2025-12-01 | 4.00437 | 0.886512 |
| 2022-11-29 | 2026-12-01 | 3.75517 | 0.860264 |
| 2022-11-29 | 2027-12-01 | 3.60378 | 0.834865 |
| 2022-11-29 | 2028-12-01 | 3.50550 | 0.810006 |
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