Why are there ZC curves and Cap/Floor surfaces on weekends?

YERAY SOSA ALONSO

Hi,

I am using the endpoint https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces to download cap/floor volatility surfaces and https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/zc-curves to download zero-coupon curves.

I have realized that is possible to download data on weekends (Sunday and Saturday) and I would like to understand how is that possible, given that markets normally close on weekends.

Thanks in advance.

Michel B

Hi @YERAY SOSA ALONSO

When you request a curve on a holiday, we use the latest contributed data (the previous working day).

If you edit your request as following (adding 'outputs':['Constituents']) you will obtain in addition to the bootstrapped curves, the whole market data set.

{
    "universe": [
        {
            "curveParameters": {
                "valuationDate": "2021-09-19",
                "priceSide": "Mid",
                "interpolationMode": "CubicDiscount"
            },
            "curveDefinition": {
                "currency": "EUR",
                "indexName": "EURIBOR",
                "name": "EUR EURIBOR Swap ZC Curve",
                "source": "Refinitiv",
                "discountingTenor": "3M"
            }
        }
    ],
    "outputs": [
        "Constituents"
    ]
}

and you will see that the data corresponds to the September 17th.

In other words we calculate a curve as of September 19th, but with data contributed on the 17th

This explains the slight changes in zero rates, even though we are using the same constituents/data.

Regards

Michel

Mark.Klimushkin

Hi @YERAY SOSA ALONSO ,

It doesn't matter on which date request is being executed. Output data is calculated in accordance with the currency/country holidays calendars.

Check following fields in the zc-curves output for more details: "calendarAdjustment", "calendars", "endDate" in curves definitions.

In general case, if today is holiday then next business day will be used instead.

Let me know if you have any other questions.

Thanks,

Mark.

YERAY SOSA ALONSO

Hi @Mark.Klimushkin,

Thanks for your response. I have checked if EUR3M ZC curve for 19-09-2021 (sunday) and 20-09-2021 (Monday) are the same but I am getting different values. For instance, here you can see a 19/09 curve point:

{
              "endDate": "2025-09-22",
              "startDate": "2021-09-19",
              "discountFactor": 1.0144305576113362,
              "ratePercent": -0.35681311676108995,
              "tenor": "4Y",
              "instruments": [
                {
                  "instrumentCode": "EURAB3E4Y=TWEB"
                }
              ]
            }

And here the same curve point on 20/09:

{
              "endDate": "2025-09-22",
              "startDate": "2021-09-20",
              "discountFactor": 1.01482788531735,
              "ratePercent": -0.36679793513945125,
              "tenor": "4Y",
              "instruments": [
                {
                  "instrumentCode": "EURAB3E4Y=TWEB"
                }
              ]
            } 

As you can see, they are similar but not equal. I also checked that Friday data is different. Please, I would like to understand the nature of these differences.

Thanks again.

I attach here the body of the request in case you want to do some verification:

{
  "universe": [
    {
      "curveParameters": {
        "valuationDate": "2021-09-19",
        "priceSide": "Mid",
        "interpolationMode": "CubicDiscount"
      },
      "curveDefinition": {
        "currency": "EUR",
        "indexName": "EURIBOR",
        "name": "EUR EURIBOR Swap ZC Curve",
        "source": "Refinitiv",
        "discountingTenor": "3M"
      }
    }
  ]
}