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.
