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Fixed Income Data | Derived

Curves - Swap Derived Zero Curves

Swap derived zero curve data for fixed income rates analysis and curve monitoring.

  1. Key facts
  2. Overview
  3. Description
  4. Access
  5. All categories
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Key facts for Curves - Swap Derived Zero Curves

Coverage metric

Geography:
North America, Asia / Pacific, EMEA, Latin America and the Caribbean
History:
From 1987
Coverage count:
Asset Classes - 14000 RICs
Asset Class
Interest Rate Derivatives, FX & Money, Fixed Income

Delivery metadata

Data Frequency
Real‑Time
Language
English
Delivery methods:
Excel, Web Service, API, Deployed/Onsite Servers, Cloud, Desktop, FTP, Bulk, Website
Data formats:
PDF, GZIP, XML, JSON, CSV, Text, Python, HTML, Bitmap, MPEG, User Interface, PCAP
Minimum service frequency
Real‑Time

Overview of Curves - Swap Derived Zero Curves

SWAP-DERIVED YIELD CURVES

Swaps Derived Zero Curve Content

  1. Real-time updates ensuring up to date yield and discount in a moving market.
  2. Standard bootstrapped Zero curve constructed using liquid interest rate instruments.
  3. Zero yield and discount factor are available real time and historically.
TRACK INTEREST RATE EXPECTATIONS

Comprehensive Swaps Zero Coverage

  1. Provides a market-consistent view of interest rate expectations across maturities.
  2. Enables robust valuation, risk management, and interest rate analytics.
  3. Supports curve construction, discounting, pricing, and hedging of interest rate products.
BUILT FOR CURVE CONSTRUCTION

Swaps Zero Data and Analytics Workflows

  1. Comprehensive swaps zero curve coverage across currencies and maturities.
  2. Gain deeper insights into global interest rate markets through transparent curve analytics.
  3. Drive faster decision-making with trusted data and flexible API-enabled delivery.

Description of the dataset

  • LSEG provides swap-derived zero-coupon yield curves for major currencies and standard maturities. We convert liquid interest rate swap and money market inputs into daily term structures used across valuation, analytics and risk management.
  • Our curve construction process applies robust bootstrapping techniques supported by documented methodology and quality controls. We deliver zero rates, discount factors and forward rates alongside curve dates, day-count conventions and business calendar information.
  • LSEG maintains stable identifiers and historical time series to help customers compare curves through time and integrate them consistently across systems. We support back-testing, pricing, discounting and scenario analysis through a normalized fixed income curve framework.

Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

Workspace
Workspace brings together trusted data, news, analytics and workflows to help customers make faster, more confident decisions.
  • Data formats:
    • PDF, Python, User Interface
  • Delivery methods:
    • Excel, API, Desktop
  • Minimum service frequency:
    • Daily
  • Service Frequency Description:
    • Daily, Weekly, Bi-Weekly, Monthly, Quarterly

All categories

Full list of all categories