By default SD uses its own market rates in SDX Interest Rates.
In the IR markets, there are both liquidly traded instruments on exchanges that can be utilized as well as data that is supplied by SD’s network of OTC market makers and brokers. SD receives both of the following:
Direct feeds for market data from liquidly traded instruments on exchanges worldwide
SD utilizes its strong relationships with exchanges worldwide which contribute their rates for SD’s internal calculations.
Contributed market rates from the OTC market
In addition to the data from exchange-traded instruments, SD receives contributions from a network of market makers and brokers for volatilities and skews for a wide range of products.
SD interprets received data according to accepted market conventions. It then combines and validates the data received from these two reliable sources to create a single reliable term structure. For example, standard cap/floor volatility curves are received from a number of major interbank brokers, as well as exchange-traded data for options on interest rate futures. All other volatility data is calculated using SD’s proprietary model.
However, you can choose to replace rates for some of these categories, or for all of them, with your own market rates feed for use by your authorized users only.
For more information on:
Changing the market data source see Changing the Market Data Source.
Changing the market data cut-off time see Changing the Market Data Cut-off Time.
Uploading your own rates see Uploading Your Own Market Rates.
Tips for working with market rates see Tips on Working with the Market Data.
Collateralization (and which discount factors are subsequently used) see Using Collateralization .
Defining whether negative rates are used to create the yield curves and OIS curves for supported linear instruments see Controlling Whether Negative Rates Are Used.
Historical market data see Historical Market Data.
FX spot rates used in SDX Interest Rates see FX Spot Rates in SDX Interest Rates.