Uploading Your Own Market Rates

In SDX Interest Rates there are two rates sources available for users:

The default SD market rates, also known as SD rates.

Rates uploaded to SD by a third-party, also known as Bank rates.

You can replace the market rates supplied by SuperDerivatives with your own market rates feed. For any supported currency you can upload the following IR market data:

Rates to build the currency’s yield curve.

This includes the following:

Cash rates

Swap rates

Futures rates or FRA rates

For non-default indexes (such as the USD 1m Libor yield curve), swap basis spreads.

Volatilities to be used for cap/floor based s.

The rates you upload here are used by SuperDerivatives to build the term structure for
cap/floor s, as displayed in the following pages—Caps/Floors Volatility Surface page & Caps/Floors Forward Rates page.

Volatilities to be used for swap-based s.

The rates you upload here are used by SD to build the term structure for swap-based s, as displayed in the following pages—Swaption Volatility Surface page and Swaption Forward Rates page.

OIS rates

You can upload the OIS rates for specific currencies and for the supported tenors. This functionality is available for all the currencies supported in the OIS curve in SDX Interest Rates.

How do you upload your own OIS rates? You do this using the SD Excel spreadsheet called IR_OIS_RatesUpload.xls. To use this spreadsheet, you must also install the SD Excel add-in called SD.MD.RatesUpload.xll.

This spreadsheet currently only supports uploading your own OIS rates.

To upload your own rates for all IR market data categories (with the exception of the OIS rates), you must use the SD Excel spreadsheet called IRDesktopTools_Sample.xls with the SD Excel add-in called DesktopApplication.xll.

You can send your rates to SD’s database via an Excel spreadsheet manually or automatically.

For more details on uploading your own IR features, contact [email protected].