Our Analytics team has updated its pricing model for long-end EUR Basis Swaps.

In response to concerns about low liquidity in ultras and limited available information on reference pages, a new extrapolation method has been introduced to smooth curves and minimise spikes in benchmark basis curves.

“Since implementing this change, data quality has not only improved but also become significantly more robust across all related products.” Chris Leonard, Head of Data Quality at TraditionData.

Basis Swaps
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Basis Swaps

Comprehensive data coverage across single currency basis and Central Counterparty Clearing (CCP) products.

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