Apparent inconsistency in GPB Libor 6M ZC curve

pcarrizosa
pcarrizosa
in Refinitiv Data Platform


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:

image


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.

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Best Answer

  • Shadab Hussain
    Shadab Hussain
    Answer ✓

    Hi @pcarrizosa ,

    Please find below solution provided by the support team-
    There was a blank update received for the =TWEB RICs on 12/31/2021 causing the huge difference. The same was corrected to 1.149 on Eikon. There is also another field that holds the bootstrapped values on RDP API and not the one the client is initially comparing the values with.


Answers

  • umer.nalla
    umer.nalla

    Hi @pcarrizosa

    as per your other post, a Ticket has been raised with the IPA content team at My.Refinitiv.

    I have also sent the case handler your revised email address and asked them to update the ticket with the new email.



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