EUR, USD, CHF curve calculation methodology highlights
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EUR, USD and CHF curves are contributed by Thomson Reuters. Curves are constructed from market-leading real-time composite deposit rates (short end maturities), futures (middle maturities) and fixed-floating xIBOR interest rate swaps (long end maturities). They are created from the most liquid interest rate instruments that are available.
- Deposit rates include ON, TN, SW, 1M, 2M, 3M, 6M, 9M and 1Y tenors, used to provide fine granularity of discount factors and rates up to the front futures contract (where available) and to derive the "stub" rate.
- Futures contracts (where available) are selected by liquidity and comprise the first six consecutive contracts. For EUR, USD and CHF curve is used respectively Liffe 3M Euribor futures, CME IMM 3M Eurodollar futures and Liffe 3M Euroswiss futures.
- Fixed-floating xIBOR swap rates from 2 years to 30 years where available, with cubic spline interpolation of intermediate cash flow dates.
Curves are calculated using standard bootstrapping in conjunction with cublic spline interpolation of the continuously compounded rate. Cubic spline interpolation of intermediate discount factors gives a smooth curve.
An illustrative example of EUR curve derivation components are shown at the table. USD and CHF curve components have the same logic.
| Start date | Maturity date | Market rate/price | Instrument Type |
|---|---|---|---|
| 22.10.2008 | 23.10.2008 | 3.34 | EUR deposit rate |
| 23.10.2008 | 27.10.2008 | 3.75 | EUR deposit rate |
| 24.10.2008 | 31.10.2008 | 3.71 | EUR deposit rate |
| 24.10.2008 | 24.11.2008 | 4.62 | EUR deposit rate |
| 24.10.2008 | 24.12.2008 | 4.75 | EUR deposit rate |
| 24.10.2008 | 26.01.2009 | 4.93 | EUR deposit rate |
| 24.10.2008 | 24.04.2009 | 5.01 | EUR deposit rate |
| 24.10.2008 | 24.07.2009 | 5.11 | EUR deposit rate |
| 24.10.2008 | 26.10.2009 | 5.09 | EUR deposit rate |
| 15.12.2008 | 15.03.2009 | 3.855 | Liffe 3M Euribor future |
| 16.03.2009 | 16.06.2009 | 3.29 | Liffe 3M Euribor future |
| 15.06.2009 | 15.09.2009 | 3.12 | Liffe 3M Euribor future |
| 14.09.2009 | 14.12.2009 | 3.13 | Liffe 3M Euribor future |
| 14.12.2009 | 14.03.2010 | 3.36 | Liffe 3M Euribor future |
| 15.03.2010 | 15.06.2010 | 3.485 | Liffe 3M Euribor future |
| 24.10.2008 | 25.10.2010 | 3.932 | Fixed-floating EURIBOR swap rate |
| 24.10.2008 | 24.10.2011 | 4.072 | Fixed-floating EURIBOR swap rate |
| 24.10.2008 | 24.10.2012 | 4.14 | Fixed-floating EURIBOR swap rate |
| 24.10.2008 | 24.10.2013 | 4.1955 | Fixed-floating EURIBOR swap rate |
| ... | ... | ... | ... |
Reference: http://www.reuters.com/