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YERAY SOSA ALONSO avatar image
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ND Forward Curves triangulation

Hi,

I have been with the API downloading forward curves. When there is a forward curve with two currencies, one with just NDF contracts and the other with both NDF and outrights, I have realized that the triangulation checks out both NDF curves are used.

I would like to know, why do you think this is the best approach?

For clarity I will introduce an example, let's say I want to valuate a BRLCNY forward with two forward curves (EURBRL and EURCNY). Would it be correct to use the EURBRL outright curve and EURCNY NDF curve? When searching for BRLCNY NDF curve directly the results are the same as if you use the two NDF curves (EURBRL and EURCNY).

Also, given that the differencees between NDF and Out are nonneglible, I would like to ask what is the reason underlying that fact?

Thank you in advance.

refinitiv-data-platformforexforwards
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1 Answer

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zoya faberov avatar image
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Hello @YERAY SOSA ALONSO ,

Are you referring to the advanced examples that are provided with CodeBook:

_Examples_/0.4 Advanced UseCases/ 04.02. Modeling Sandbox

?

These examples are intended as developer examples of advanced usage of RDP APIs,

as well to showcase and exemplify the content that is made available via RDP for easy programmatic integration.

In my view, the solution as implemented by these examples is not intended as the only recommended approach, and may not be the best for your use case at hand.

However, for in-depth authoritative answer on content presented, or to help addressing your content requirements, would suggest to contact Refinitiv content experts directly, via Refinitiv Helpdesk Online -> Content -> Refinitiv Workspace/Eikon

Please let us know if this addresses your question, otherwise please provide more details?

Thanks

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