The UDI Curve displays the UDI index1. This data is used by the system to price the UDI Swap, which is an interest rate swap where one of the legs is based on a fixed rate set by reference to the UDI index.
You can choose to display the market data for either the MXN UDI fixed versus the USD 6m LIBOR OR for the MXN UDI fixed rate versus the MXN TIIE. You do this by changing the underlying index.
The UDI Curve page is accessed by:
Clicking the Curves tab > UDI Curve tab on the left-hand menu.
From the Trader, Structurer or Market Data tabs > Curves button > UDI Curve.
From the Open button > Curves > UDI Curve.
For each swap rate tenor displayed you see the following data which by default is supplied by SD:
Date
This is the swap rate tenor’s maturity date.
Interest rate %
Discount factor
By default, the UDI Curve page opens with the data for the MXN UDI fixed rate versus the MXN TIIE, the current trade date and the market data cut-off time set in the pricing page from which it was opened.
The following topics are covered:
Fields & Buttons in the UDI Curve Page
What Can Be Done in the UDI Curve Page
Understanding the Colors Used for Rates in a Yield Curve