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Analytics

Zero Coupon Curves

An overview of Zero Coupon Curves 

The zero coupon curve APIs of Instrument Pricing Analytics enables traders, portfolio managers, and risk officers to build and customize zero coupon curves using a multi-curve framework that supports a wide range of instruments: deposits, FRAs, futures, interest rate swaps, basis swaps, cross-currency basis swaps.

The zero curves built can be used to estimate forward rates for a wide range of indices such as LIBOR, OIS (Fed Funds, EONIA....) and the new risk free rate (SOFR, SONIA, €STER....).

Key Facts 

  • Geographical coverage
    Global
  • History
  • Data format
    CSV
    Delimited
    GZIP
    JSON
    Python
    User Interface
    XML
    Zip Archive
  • Delivery mechanism
    API
    Desktop
    Excel
    FTP
    SFTP
  • Data frequency
    Continuous

Features & Benefits

What you get with Zero Coupon Curves 

  • Large sets of analytical output for your consumption.
  • Pricing models are pre-configured with Refinitiv data.
  • Analytics generated for you on-demand.
  • In-cloud delivery.
  • Control calculations with flexible API.
  • Integrate easily into client internal workflows.

  

How it works

 Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

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