• Home
• Data
• Sample
• OIS Data

OIS Data

FinPricing offers:

Four user interfaces:

View:

OIS 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

Prior to the 2007 financial crisis, market practitioners considered the swap rate curve as a proxy for the risk-free curve and used it for discounting cashflows.However, 2007 financial crisis indicated that interbank lending rates were not indeed risk-free due to failure of some banks. As a result, the swap curve can not be regarded as risk free anymore.

Now OIS curve becomes the market standard of risk-free curve. It is used to discount collateralized products. A typical OIS curve consists of three parts. The short end of the term structure is determined by OIS deposit rates. The middle part of the curve uses FedFund futures. The far end is given by mid OIS spreads.

Most data vendors in the market provide you three or more separate feeds for deposit rates, Fedfund futures, and OIS 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. An OIS 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