How to get Cross Currency Basis discount curves with RDP

YERAY SOSA ALONSO

Hi,

I would like to ask how to get the cross-currency basis discount curve. For example, It can be seen in the Eikon desktop application under the ric 0#EURUSDQQZ= (for EURvsUSD). I didn't see any endpoint which can retrieve those kinds of curves in the API playground and I was wondering if I am missing something out.

Thanks.

Michel B

Hi @YERAY SOSA ALONSO

there is actually a dedicated endpoint to compute zero curves

you can enter 'curve' in API playgound, and you should find /CURVES/ZC-CURVES

this endpoint is suitable to compute swap zero curves (bond curves soon)

to compute a EUR curve collateralized in USD, you can use this payload:

{
    "universe": [
        {
            "curveParameters": {
                "valuationDate": "2021-02-28"
            },
            "curveDefinition": {
                "currency": "EUR",
                "mainConstituentAssetClass": "Swap",
                "indexName": "EURIBOR",
                "referenceCurveDefinition": {
                    "currency": "USD",
                    "indexName": "LIBOR",
                    "mainConstituentAssetClass": "Swap",
                    "discountingTenor": "3M"
                }
            }
        }
    ],
    "outputs":["Constituents"]
}

The DF computed are solved such as market EURUSD CBS are recomputed, according to the following equation.

In the above payload, we use 'USD' as reference or collateral currency, which means that both legs of the EURUSD CBS are collateralized in USD.

We will add a sample for Fx Adjusted zero curves soon.

Hope this helps,

Best Regards

Michel