Market data set up

Created by Erik Åkerlund, Modified on Fri, 09 Feb 2024 at 11:06 AM by Catharina Hansson

Market data set up 

Define all rates and prices imported from market data supplier needed to perform fixing and market valutations. Index, FRA, Swap interests and currency basis spreads. Normally this is already pre-defined for some currencies (the most common) when the system is delivered.  


Curve definition  

Choose the market data that should build up the different curves that should be used when doing market valuation of the instrument.  


Example: 

"Ibor" rates up to 6 months 

FRA rates from 6 months – 2 years 

Swap interest rates from 2 years – 15 years 


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