Apparent inconsistency in GPB Libor 6M ZC curve

YERAY SOSA ALONSO

Good Morning,

I am using RDP to retrieve GBP Libor 6M curve, and I have noticed that there is a difference with the data that I get from the Eikon Desktop Application using the RIC for Zero Coupon Curves 0#GBPSBSLZ=R. I would appreciate if you could explain me the reasons for the difference that I am going to show now.

In RDP, I am using the endpoint: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/zc-curves, with the following body:

{
  "universe": [
    {
      "curveParameters": {
        "valuationDate": "2021-12-31",
        "priceSide": "Mid",
        "interpolationMode": "CubicDiscount"
      },
      "curveDefinition": {
        "currency": "GBP",
        "indexName": "LIBOR",
        "name": "GBP LIBOR Swap ZC Curve",
        "source": "Refinitiv",
        "discountingTenor": "OIS"
      }
    }
  ],
  "outputs": [
    "Constituents",
    "DetailedCurvePoint",
    "UnderlyingCurves"
  ]
}

I am going to focus in the differences for the 20Y point. The 20Y point obtained from the API is:

{             "endDate": "2041-12-31",
              "startDate": "2021-12-31",
              "discountFactor": 0.7923508883940772,
              "ratePercent": 1.1705526921350629,
              "tenor": "20Y",
              "instruments": [
                {
                  "instrumentCode": "GBPSB6L20Y=TWEB",
                  "value": 1.1705
                }
              ]
            },

So, I understand that the 20Y zero coupon rate is 1.170552..., and it is obtained bootstrapping the TWEB swap curve (#0GBPSB6LIRS=TWEB).

In the Desktop Application, I usually use the RIC 0#GBPSBSLZ=R, whose description is "UK Pound Sterling SB 6M Libor Zero Coupon Yield Curve", to get the previous information. Here the data for 31-12-2021:

As you can see, the 20Y point of the green line is 1.343, which is far from the 1.170 obtained through the API.

Thanks in advance.

umer.nalla

This is a duplicate of Apparent inconsistency in GPB Libor 6M ZC curve - Forum | Refinitiv Developer Community - created by user as the email attached to the @YERAY SOSA ALONSO username is no longer valid.

umer.nalla

Hi @YERAY SOSA ALONSO

For IPA content-specific questions, it is recommended that you create a Content ticket at My.Refinitiv for the IPA product.

On this occasion, I have created a ticket for you and will post the ticket number as a private post momentarily.

YERAY SOSA ALONSO

How will I receive the response? Could you please send it to <removed> or post it here?

YERAY SOSA ALONSO

This email is no longer available. This is the KPMG account, but the user has changed. Now is <removed>.. Please send the information to that email.