Good Morning,
I am using RDP to retrieve GBP Libor 6M curve, and I have noticed that there is a difference with the data that I get from the Eikon Desktop Application using the RIC for Zero Coupon Curves 0#GBPSBSLZ=R. I would appreciate if you could explain me the reasons for the difference that I am going to show now.
In RDP, I am using the endpoint: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/zc-curves, with the following body:
{ "universe": [ { "curveParameters": { "valuationDate": "2021-12-31", "priceSide": "Mid", "interpolationMode": "CubicDiscount" }, "curveDefinition": { "currency": "GBP", "indexName": "LIBOR", "name": "GBP LIBOR Swap ZC Curve", "source": "Refinitiv", "discountingTenor": "OIS" } } ], "outputs": [ "Constituents", "DetailedCurvePoint", "UnderlyingCurves" ] }
I am going to focus in the differences for the 20Y point. The 20Y point obtained from the API is:
{ "endDate": "2041-12-31", "startDate": "2021-12-31", "discountFactor": 0.7923508883940772, "ratePercent": 1.1705526921350629, "tenor": "20Y", "instruments": [ { "instrumentCode": "GBPSB6L20Y=TWEB", "value": 1.1705 } ] },
So, I understand that the 20Y zero coupon rate is 1.170552..., and it is obtained bootstrapping the TWEB swap curve (#0GBPSB6LIRS=TWEB).
In the Desktop Application, I usually use the RIC 0#GBPSBSLZ=R, whose description is "UK Pound Sterling SB 6M Libor Zero Coupon Yield Curve", to get the previous information. Here the data for 31-12-2021:
As you can see, the 20Y point of the green line is 1.343, which is far from the 1.170 obtained through the API.
Thanks in advance.