Rate curves

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Rate curves

Augeos offers a pricing service that can be realized through the creation of interest rate curves, derived from bond prices.

There are two types of curves used as input for the pricing model:

  • Term structures Risk Free: theoretical prices are calculated on the basis of “risk free” rate curves, with daily disbursement;

  • Term structures Plus : the theoretical prices are calculated on the basis of rate curves that take into account the creditworthiness of the company, with daily or monthly disbursements.

The service provides a basket of instruments (bonds or market parameters/indices) used to calculate the curve; associated with each security/instrument is indicated the market used to find the quote for the day of reference of the curve.

Two data delivery formats are available:

  • Fixed length track
  • XML Plotted

Other types of curves are also available on request:

  1. Term structures per issuer
  2. Term structures with additional internal rating classifications