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Swap Curve Data

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Swap Rate 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

Swap rate curve is the base element for constructing all yield curves. It consists of a set of the most liquid and dominant interest rate instruments in selected 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 FRA. The far end is given by mid swap rates.

Most data vendors in the market provide you three or more separate feeds for deposit rates, futures, FRAs, and swap rates. 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 swap rate 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