Retrieving 50Y zero coupon curves

YERAY SOSA ALONSO
YERAY SOSA ALONSO
in Refinitiv Data Platform

Hi!

I am retrieving data from zero coupon curves with the following endpoint:

https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/zc-curves

Unfortunately, the response just show curves until 30Y. I was wondering if there is any possibility to get further dates, until 50Y if possible.

Kind regards

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Best Answer

  • Michel B
    Michel B
    Answer ✓

    Hi @YERAY SOSA ALONSO

    - One option is to fill the 'curveTenors' property (see /data/quantitative-analytics-curves-and-surfaces/v1/curves/zc-curves swagger in https://apidocs.refinitiv.com/Apps/ApiDocs), which is an array of user-defined tenors. You can add a 50Y tenor that will be extrapolated. But since it relies on extrapolation from a 30Y swap that may not be desirable.

    1644565317340.png

    The service will return you the interpolated zero curve for the specified tenors, but you can also get the original bootstrapped curve asking for 'BootstrappedCurves' in the outputs.

    1644565574386.png

    - Another option is to create your own curve definition if you have access to a 50Y swap contribution. But the endpoint to create such curve definition seem internal for now, i have to get this confirmed.

    - A last option is to update the 'Refinitiv' curve definition with a 50Y swap contribution. Depending on the permissioning conditions of the source/contributor, we may add this item to the existing curve definition.

    What is the currency you have in mind?

    Best Regards

    Michel

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