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.