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.
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"
]
}
]
}
}
}
}
]
}
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
