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

rohit.gajare
rohit.gajare Newcomer
in Refinitiv Data Platform

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


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Best Answer

  • Michel B
    Michel B LSEG
    Answer ✓

    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

Answers

  • raksina.samasiri
    raksina.samasiri admin

    Hi @rohit.gajare ,

    Your question is about the content related rather than about API usage and the moderators on this forum do not have deep expertise in every type of content available through Refinitiv products. Such expertise is available through Refinitiv Helpdesk.

    Hence, the best approach is to reach out to Eikon support directly, by submitting the question via MyRefinitiv rather than posting on dev forums.

    Hope this helps. Please let me know in case you have any questions.

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