Hi @YERAY SOSA ALONSO

When you request a curve on a holiday, we use the latest contributed data (the previous working day).

If you edit your request as following (adding 'outputs':['Constituents']) you will obtain in addition to the bootstrapped curves, the whole market data set.

{
    "universe": [
        {
            "curveParameters": {
                "valuationDate": "2021-09-19",
                "priceSide": "Mid",
                "interpolationMode": "CubicDiscount"
            },
            "curveDefinition": {
                "currency": "EUR",
                "indexName": "EURIBOR",
                "name": "EUR EURIBOR Swap ZC Curve",
                "source": "Refinitiv",
                "discountingTenor": "3M"
            }
        }
    ],
    "outputs": [
        "Constituents"
    ]
}

and you will see that the data corresponds to the September 17th.

In other words we calculate a curve as of September 19th, but with data contributed on the 17th

This explains the slight changes in zero rates, even though we are using the same constituents/data.

Regards

Michel

Hi @YERAY SOSA ALONSO ,

It doesn't matter on which date request is being executed. Output data is calculated in accordance with the currency/country holidays calendars.

Check following fields in the zc-curves output for more details: "calendarAdjustment", "calendars", "endDate" in curves definitions.

In general case, if today is holiday then next business day will be used instead.

Let me know if you have any other questions.

Thanks,

Mark.

Hi @Mark.Klimushkin,

Thanks for your response. I have checked if EUR3M ZC curve for 19-09-2021 (sunday) and 20-09-2021 (Monday) are the same but I am getting different values. For instance, here you can see a 19/09 curve point:

{
              "endDate": "2025-09-22",
              "startDate": "2021-09-19",
              "discountFactor": 1.0144305576113362,
              "ratePercent": -0.35681311676108995,
              "tenor": "4Y",
              "instruments": [
                {
                  "instrumentCode": "EURAB3E4Y=TWEB"
                }
              ]
            }

And here the same curve point on 20/09:

{
              "endDate": "2025-09-22",
              "startDate": "2021-09-20",
              "discountFactor": 1.01482788531735,
              "ratePercent": -0.36679793513945125,
              "tenor": "4Y",
              "instruments": [
                {
                  "instrumentCode": "EURAB3E4Y=TWEB"
                }
              ]
            } 

As you can see, they are similar but not equal. I also checked that Friday data is different. Please, I would like to understand the nature of these differences.

Thanks again.

I attach here the body of the request in case you want to do some verification:

{
  "universe": [
    {
      "curveParameters": {
        "valuationDate": "2021-09-19",
        "priceSide": "Mid",
        "interpolationMode": "CubicDiscount"
      },
      "curveDefinition": {
        "currency": "EUR",
        "indexName": "EURIBOR",
        "name": "EUR EURIBOR Swap ZC Curve",
        "source": "Refinitiv",
        "discountingTenor": "3M"
      }
    }
  ]
}