Swap-Implied Curve Data
Global Coverage: We supply yield curves for a wide range of global currency (see below).
Constant Updates: We provide an updated file on an intraday or end-of-day basis, so you get updates as soon as we do.
Full Transparency: We always tell you how our swap-implied curves were created.
Customers First: We customize solutions to your needs. Our friendly team resolves most issues within 24 hours.
Competitive Costs: SQX swap-implied curve pricing allows you to pay a fraction of what other data providers charge.
Historical Data: Up to 5 years of historical swap-implied curve information is available.
Let us handle your swap-implied curves
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SQX swap-implied yield curves provide independent, zero-coupon yield and discount factor data derived from the most liquid, observable market instruments. SQX delivers a daily- or intraday-updated file, ensuring you receive price updates when they become available.
But that's not all – our primary business is serving you. We'll provide the custom solutions you need. We'll always give you friendly, responsive customer service. We'll treat you like you actually matter – because you do.
That's the SQX difference.
Data Fields Provided:
- Spot Date
- Yield
- Discount Factor
- Unique Identifier (created from the below information)
- Currency
- "YCZ": Yield Curve – Zero Coupon
- Tenor
Our Swap-Implied Curve Methodology:
SQX swap-implied curves are constructed using a market-based methodology that prioritizes accuracy and consistency. We derive zero-coupon yields and discount factors from the most liquid instruments available across the maturity spectrum, ensuring that each data point reflects real, executable market levels. Where applicable, we use Overnight Index Swaps (OIS) as the foundation, recognizing their prominence in interest rate markets.
The curves are then built using an industry-standard bootstrapping process that maintains mathematical integrity across tenors—resulting in smooth, arbitrage-free outputs suitable for valuation, risk, and analytics workflows.
Currencies Covered:
| AUD | HUF | NZD | BGN |
|---|---|---|---|
| IDR | PHP | BRL | ILS |
| PLN | CAD | INR | RUB |
| CHF | ISK | SAR | CZK |
| JPY | SEK | DKK | KES |
| SGD | EUR | KRW | TRY |
| GBP | MXN | TWD | HKD |
| MYR | USD | HRK | NOK |
| ZAR |
