IHS Markit datasets available via the Data Lake
Yield curves on over 60 fixing names each with one or more fixing tenors. Discount factors and zero rates are available along with the underlying market data used for bootstrapping the curve. Discount factors are also available for FX-derived discount curves for approximately 60 currency pairs. Basis swap curves and cross currency basis swap curves are also included. Data available for 10+ intraday snaps.
REST, Python, S3 Proxy
- Interest Rates
- Yield Curve
- Discount factor
- Zero Rate
- Basis Swap
- Foreign Currency
|Dataset Name||Dataset Description||Data Format||Publishing Frequency|
|Interest Rate Basis Swap Curve||The basis spreads between different IR fixings in the same currency are actively traded in the market in the form of basis swap instruments, which are float vs float swap derivatives. Basis swaps between different tenors for the same fixing, or between different fixings are offered in the IHS Markit OTC Derivatives Data IR Basis Curve service. Basis spreads are published in basis points. Basis swaps data are published for 11 snaps throughout the day.||CSV||Weekday|
|Interest Rate Cross Currency Basis Swap Curve||The basis spreads between different IR fixings in different currencies are actively traded in the market in the form of cross currencies basis swap instruments, which are float vs float swap derivatives. More than 25 Cross Currencies basis swaps are offered in the IHS Markit OTC Derivatives Data service. Basis spreads are published in basis points. Cross Currency Basis swaps data are published for 11 snaps throughout the day.||CSV||Weekday|
|Interest Rate Yield Curve||Yield Curves represent the main building block for pricing derivatives. Used in the form of discount factors for discounting purposing or as forward rates for determining future cash flows YC are a the most fundamental derived data in the financial market. The IHS Markit OTC Derivatives Data Yield Curve service covers yield curves for as many as 30+ currencies for a total of 60+ fixings. Yield curves are published as discount factors and zero rates.||CSV||Weekday|
|Interest Rate Discount Curves||Discount curves are used for pricing and discounting financial derivatives. The IHS Markit OTC Derivatives Data Discount Curve service provides discount curves to be used for pricing derivatives where the payment currency is different than the one of the underlying reference fixing. The FX Forward curves used for implying the discount curve are also published along with the discount factors and zero rates. Discount curves are published for 11 snaps throughout the day.||CSV||Weekday|
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