The file contains all forward and discounting curves for all IRD currencies in terms of zero rates and discount factors used by Eurex Clearing to price and settle OTC IRD transactions. The rates are provided for a given valuation timestamp and for a given offset from the valuation date (in days).
The input file "Interest Rate Curves Report" contains the following data fields:
| Field name | Value type* | Value example | Remark |
Value DateTime | Datetime | 2012-01-21 14:30:00 | Value date and time of the curve in YYYY-MM-DD hh:mm:ss |
Curve ID | String (25) | EUR.EURIBOR.3M | Curves: "ccy.index.rfq" |
Maturity Offset | Number (0) | 138 | Tenor grid point in offset days |
Maturity Date | Datetime | 2012-03-28 00:00:00 | Date of the tenor grid point (time is 00:00:00 by default) |
Value Type | String (1) | Z | Specific type of interest rate: S – Discount factor for IRD (mid) Z – Zero rate (mid) |
Value | Number (14) | 0.9753250047 | IRD curve value and inflation index levels |
* The number in the bracket indicates how many digits after the decimal point are provided for numbers and the maximum length of the field for String fields.
FIC Derivatives & Repo Sales
