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Settlement Prices

Settlement Prices

      • 28 Sep 2020
    • OTC IRD Settlement Prices


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 nameValue type*Value exampleRemark
Value DateTimeDatetime2012-01-21 14:30:00Value date and time of the curve in YYYY-MM-DD hh:mm:ss
Curve IDString (25)EUR.EURIBOR.3MCurves: "ccy.index.rfq"
Maturity OffsetNumber (0)138Tenor grid point in offset days
Maturity Date Datetime2012-03-28 00:00:00Date of the tenor grid point (time is 00:00:00 by default)
Value TypeString (1)ZSpecific type of interest rate:
S – Discount factor for IRD (mid)
Z – Zero rate (mid)
ValueNumber (14)0.9753250047IRD 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.