CURVB/SWPR versus MID price

consultantbelgium

Hi all,

I have been struggling to validate the figures of the SWPR (swap pricer tool) which colleagues of mine use on a regular basis. I have tried to check the CURVB which perfectly corresponds to the SWPR output (rates in Zero curve sheets). However when I try to extract the rates it seems I'm unable to retrieve the same figures. Let me give an example: 2/09/2024: extracting the data gives:

Or SWPR: with valuation date & start date 2/09/2024

Trying to retrieve the mid prices you can look at the exported table from CURVB and check in excel the instrument codes:

=@RHistory(H4:H42;".Timestamp;MID_PRICE.Close";"START:"&$B$2&" END:"&$B$2&" INTERVAL:1D";;"TSREPEAT:NO CH:Fd Transpose:Y";L3)

However that RATE PERCENT variable is not really available in excel...

Original:

New,I tried to modify the RICs a bit, such that I get much more mid prices (see missing Mid 1 and Mid 2 data fields):

But how do you get column F?

Jirapongse

@consultantbelgium

Thank you for reaching out to us.

As this forum is more for programming type queries, rather than content queries - I would recommend you raise a 'I need help understanding content within the product' ticket with our helpdesk. That way a Content specialist can work closely with you and verify the assumption.