User data for ReferenceCurve under IPA ZC-curves

anass.yazane.1

Dear Developer community

I'm trying to generate ZC Curves using Custom/user data by indicating a curveConstituents.

I am able to do it for Curve subject to calculation, but i'm not able to the same for ReferenceCurve.

i Want to generate ZC curve using EUR as Collat and then should be used as referencecurve.

many thanks for your help.

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Accepted answers

wasin.w

Hello @anass.yazane.1

I checked the case 13498945, the support team suggested you use the /api/curves/zc-curves endpoint.

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anass.yazane.1

Dear Developer community

regarding my request, i have tried to add 'EUR' segment to 'constituents' which contains ESTR ParRate and by adding tenorbasisswap segment

But i'm facing 2 issues:

- when i remove 'tenorbasisSwap' segment, ZC Curve generate ZC points but inly for some points, Only points with the same maturity Data between EUR and USD.

- using tenor basis segment, i have an error showing '

"There are no constituents for EURUSD"

Also i don't know where i can find template for EUR ESTR/USD SOFR basis swap to indicate it.

What about implied Basis Swap not quoted in the market (for instance GBP SONIA Vs CHF SARON calculated using both quoted basis swap against SOFR).

many thanks for your help

{
  "universe": [
    {
      "curveDefinition": {
        "ignoreExistingDefinition": true,
        "currency": "USD",
        "discountingTenor": "OIS",
        "referenceCurveDefinition": {
          "constituentOverrideMode": "ReplaceDefinition",
          "ignoreExistingDefinition": true,
          "currency": "EUR",
          "indexName": "ESTR",
          "discountingTenor": "OIS"
        },
        "crossCurrencyDefinitions": [
          {
            "baseCurrency": "EUR",
            "baseIndexName": "ESTR",
            "constituentOverrideMode": "ReplaceDefinition",
            "ignoreExistingDefinition": true,
            "quotedCurrency": "USD",
            "quotedIndexName": "SOFR"
          }
        ]
      },
      "curveParameters": {
        "priceSide": "Mid",
        "compoundingType": "Continuous",
        "useConvexityAdjustment": false,
        "interestCalculationMethod": "Dcb_Actual_365"
      },
      "constituents": {
        "interestRateInstruments": {
          "EURUSD": {
            "tenorBasisSwaps": [
              {
                "fields": {
                  "bid": {
                    "value": 4
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EURCBS3M",
                  "template":""
                  "tenor": "3M"
                },
                "basis": [
                  "OIS"
                ]
              }
            ]
          },
          "EUR": {
            "deposits": [
              {
                "fields": {
                  "bid": {
                    "value": 3.909
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTRON",
                  "template": "EUR",
                  "tenor": "ON"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.909
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTRTN",
                  "template": "EUR",
                  "tenor": "TN"
                },
                "basis": [
                  "OIS"
                ]
              }
            ],
            "overnightIndexSwaps": [
              {
                "fields": {
                  "bid": {
                    "value": 3.8961
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR1W",
                  "template": "EURESTOIS",
                  "tenor": "1W"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.9036
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR2W",
                  "template": "EURESTOIS",
                  "tenor": "2W"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.9059
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR3W",
                  "template": "EURESTOIS",
                  "tenor": "3W"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.8992
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR1M",
                  "template": "EURESTOIS",
                  "tenor": "1M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.8981
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR2M",
                  "template": "EURESTOIS",
                  "tenor": "2M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.864
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR3M",
                  "template": "EURESTOIS",
                  "tenor": "3M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.815
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR4M",
                  "template": "EURESTOIS",
                  "tenor": "4M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.7662
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR5M",
                  "template": "EURESTOIS",
                  "tenor": "5M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.7208
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR6M",
                  "template": "EURESTOIS",
                  "tenor": "6M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.6672
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR7M",
                  "template": "EURESTOIS",
                  "tenor": "7M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.617
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR8M",
                  "template": "EURESTOIS",
                  "tenor": "8M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.5669
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR9M",
                  "template": "EURESTOIS",
                  "tenor": "9M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.518
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR10M",
                  "template": "EURESTOIS",
                  "tenor": "10M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 3.4717
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "EU-ESTR11M",
                  "template": "EURESTOIS",
                  "tenor": "11M"
                },
                "basis": [
                  "OIS"
                ]
              }
            ]
          },
          "USD": {
            "deposits": [
              {
                "fields": {
                  "bid": {
                    "value": 5.31
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFRON",
                  "template": "USD",
                  "tenor": "ON"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.31
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFRTN",
                  "template": "USD",
                  "tenor": "TN"
                },
                "basis": [
                  "OIS"
                ]
              }
            ],
            "overnightIndexSwaps": [
              {
                "fields": {
                  "bid": {
                    "value": 5.3235
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR1W",
                  "template": "USDSROIS",
                  "tenor": "1W"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.325
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR2W",
                  "template": "USDSROIS",
                  "tenor": "2W"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.328
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR3W",
                  "template": "USDSROIS",
                  "tenor": "3W"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.3311
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR1M",
                  "template": "USDSROIS",
                  "tenor": "1M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.3282
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR2M",
                  "template": "USDSROIS",
                  "tenor": "2M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.3099
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR3M",
                  "template": "USDSROIS",
                  "tenor": "3M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.2873
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR4M",
                  "template": "USDSROIS",
                  "tenor": "4M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.2597
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR5M",
                  "template": "USDSROIS",
                  "tenor": "5M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.2318
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR6M",
                  "template": "USDSROIS",
                  "tenor": "6M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.2003
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR7M",
                  "template": "USDSROIS",
                  "tenor": "7M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.1655
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR8M",
                  "template": "USDSROIS",
                  "tenor": "8M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.1306
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR9M",
                  "template": "USDSROIS",
                  "tenor": "9M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.096
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR10M",
                  "template": "USDSROIS",
                  "tenor": "10M"
                },
                "basis": [
                  "OIS"
                ]
              },
              {
                "fields": {
                  "bid": {
                    "value": 5.0568
                  }
                },
                "instrumentDefinition": {
                  "instrumentCode": "USDSOFR11M",
                  "template": "USDSROIS",
                  "tenor": "11M"
                },
                "basis": [
                  "OIS"
                ]
              }
            ]
          }
        }
      }
    }
  ]
}

aramyan.h

Hi @anass.yazane.1 ,

We have raised this question to the respective Product team, will update you once we get back from them.

Best regards,

Haykaz

wasin.w

Hello @anass.yazane.1

I checked the case 13498945, the support team suggested you use the /api/curves/zc-curves endpoint.

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