MIBOR OIS Swap Valuation - Need MIBOR ON Rate and MIBOR OIS Swap curve

rohit.gajare

Hi,

I need the correct RIC Code to fetch MIBOR ON Rate and MIBOR OIS Swap curve from Refinitiv on a daily basis. This is needed for valuation of MIBOR OIS Swaps.

The data model discovery tool had the following information..

INRONDFIX=FBIL represents the MIBOR ON Rate in Refinitiv &
INRANONM1MFIX=FBIL represents the MIBOR OIS Index in Refinitiv

Can someone confirm whether these are the correct RICs ?

Is the MIBOR OIS curve same as the one being used at CCIL for valuation ?

In which format does the yield curve output come out, I would imagine it is in the form of a dictionary (Key-Tenor , Value - Rate).

I would appreciate your help on this.

Regards,

Rohit

Michel B

Hi @rohit.gajare

You can use RDP IPA curve service to retrieve such curve.

View existing INR curves on /api/curves/zc-curve-definitions

{
    "universe": [
        {
            "currency": "INR"
        }
    ]
}

Then request the curve on /api/curves/zc-curves

{
    "universe": [
        {
            "curveDefinition": {
                "currency": "INR",
                "mainConstituentAssetClass": "Swap",
                "riskType": "InterestRate",
                "indexName": "MIBOR",
                "source": "Refinitiv",
                "name": "INR MIBOR Swap ZC Curve",
                "id": "a6da87eb-ce1f-4b69-bcaa-6f45a6121367"
            }
        }
    ],
    "outputs": [
        "DetailedCurvePoint",
        "Constituents"
    ]
}

Hope that helps,

Regards

Michel