question

Upvotes
consultantbelgium avatar image
1 ●0 ●0 ●0

CURVB/SWPR versus MID price

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:1725283189706.png

Or SWPR: with valuation date & start date 2/09/2024
1725283202789.png

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):

1725283344339.png

But how do you get column F?

#contenteuribor
1725283383450.png (159.3 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

2 Answers

· Write an Answer
Upvotes
Jirapongse avatar image
85k ●289 ●53 ●77

@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.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
consultantbelgium avatar image
1 ●0 ●0 ●0

This is a programmer question.. which field can I use? The zcurve automation code that was recommended in the workspace in codebook only shows which curves are available. Not how to retrieve them in realtime (rate + discount factor)

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.