Calibrated Curves
Date
AUD
2026-02-05
Request:
{
"curves": [
{
"currency": "AUD",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.04863000000000001,
"1Y": 0.04152,
"2Y": 0.04285,
"3M": 0.0245,
"3Y": 0.04332,
"5Y": 0.04445
}
},
{
"currency": "AUD",
"curve_type": "IBOR",
"discount_curve_name": "AUD_OIS",
"quotes": {
"10Y": 0.04863000000000001,
"1Y": 0.04152,
"2Y": 0.04285,
"3M": 0.0245,
"3Y": 0.04332,
"5Y": 0.04445
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
"curves": [
{
"currency": "AUD",
"name": "AUD_OIS",
"points": [
{
"date": "2026-02-05",
"discount_factor": 1.0,
"zero_rate": 0.021128163571969352
},
{
"date": "2026-05-05",
"discount_factor": 0.9941089046249846,
"zero_rate": 0.023899616616028782
},
{
"date": "2026-08-05",
"discount_factor": 0.9846306697828765,
"zero_rate": 0.030806179872717252
},
{
"date": "2026-11-05",
"discount_factor": 0.972542832766294,
"zero_rate": 0.0367136182204211
},
{
"date": "2027-02-05",
"discount_factor": 0.9599094461365176,
"zero_rate": 0.040355828295236595
},
{
"date": "2027-05-05",
"discount_factor": 0.9487104862071679,
"zero_rate": 0.04175016692994724
},
{
"date": "2027-08-05",
"discount_factor": 0.9381914475784263,
"zero_rate": 0.04206675752036945
},
{
"date": "2027-11-05",
"discount_factor": 0.9283033446784693,
"zero_rate": 0.041979340195179494
},
{
"date": "2028-02-05",
"discount_factor": 0.9186168188634924,
"zero_rate": 0.041861686696182725
},
{
"date": "2028-05-05",
"discount_factor": 0.9090073250904634,
"zero_rate": 0.041883860384682434
},
{
"date": "2028-08-05",
"discount_factor": 0.8990432934160542,
"zero_rate": 0.0420095085656493
},
{
"date": "2028-11-05",
"discount_factor": 0.8890245628350899,
"zero_rate": 0.04217823613655403
},
{
"date": "2029-02-05",
"discount_factor": 0.8790359734615241,
"zero_rate": 0.04234909161503146
},
{
"date": "2029-05-05",
"discount_factor": 0.8694647345107565,
"zero_rate": 0.04249443170576759
},
{
"date": "2029-08-05",
"discount_factor": 0.8596621773113228,
"zero_rate": 0.042629351789679734
},
{
"date": "2029-11-05",
"discount_factor": 0.8499298238364441,
"zero_rate": 0.042758610310774735
},
{
"date": "2030-02-05",
"discount_factor": 0.840245809705491,
"zero_rate": 0.042889724686074604
},
{
"date": "2030-05-05",
"discount_factor": 0.8309039288135938,
"zero_rate": 0.04302373934071483
},
{
"date": "2030-08-05",
"discount_factor": 0.8212550301537185,
"zero_rate": 0.043174037949973536
},
{
"date": "2030-11-05",
"discount_factor": 0.8115954191422978,
"zero_rate": 0.04333978863886246
},
{
"date": "2031-02-05",
"discount_factor": 0.8019071420429204,
"zero_rate": 0.04352381483616227
},
{
"date": "2031-05-05",
"discount_factor": 0.7924951949381339,
"zero_rate": 0.043720512329350716
},
{
"date": "2031-08-05",
"discount_factor": 0.782731574609529,
"zero_rate": 0.04393999253040613
},
{
"date": "2031-11-05",
"discount_factor": 0.7729450373756622,
"zero_rate": 0.04417200616228739
},
{
"date": "2032-02-05",
"discount_factor": 0.7631473508311353,
"zero_rate": 0.04441327820883524
},
{
"date": "2032-05-05",
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"zero_rate": 0.04465562267573389
},
{
"date": "2032-08-05",
"discount_factor": 0.7437759378472173,
"zero_rate": 0.04490752692500165
},
{
"date": "2032-11-05",
"discount_factor": 0.7340103885905502,
"zero_rate": 0.04516168557682656
},
{
"date": "2033-02-05",
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"zero_rate": 0.045416401897300625
},
{
"date": "2033-05-05",
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"zero_rate": 0.045661966155084395
},
{
"date": "2033-08-05",
"discount_factor": 0.7052526338956666,
"zero_rate": 0.045913699776220555
},
{
"date": "2033-11-05",
"discount_factor": 0.6956656172602764,
"zero_rate": 0.04616219818487613
},
{
"date": "2034-02-05",
"discount_factor": 0.6861451724092154,
"zero_rate": 0.04640649511997913
},
{
"date": "2034-05-05",
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"zero_rate": 0.046638028386559026
},
{
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"zero_rate": 0.04687167794869537
},
{
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},
{
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},
{
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},
{
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},
{
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},
{
"date": "2036-02-05",
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"zero_rate": 0.04811382272110588
},
{
"date": "2036-05-05",
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},
{
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},
{
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},
{
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},
{
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},
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},
{
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},
{
"date": "2038-02-05",
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"zero_rate": 0.04932605325736759
},
{
"date": "2038-05-05",
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"zero_rate": 0.04944658094936672
},
{
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},
{
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},
{
"date": "2039-02-05",
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},
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},
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},
{
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},
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},
{
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},
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},
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{
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},
{
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},
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},
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{
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},
{
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{
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{
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},
{
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{
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{
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},
{
"date": "2052-02-05",
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},
{
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"zero_rate": 0.05261316925323791
},
{
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"zero_rate": 0.0526394922229513
},
{
"date": "2052-11-05",
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"zero_rate": 0.052665319447892205
},
{
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},
{
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{
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},
{
"date": "2053-11-05",
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"zero_rate": 0.05276316580177453
},
{
"date": "2054-02-05",
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"zero_rate": 0.052786726378524385
},
{
"date": "2054-05-05",
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"zero_rate": 0.05280911877197506
},
{
"date": "2054-08-05",
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"zero_rate": 0.052831863424661694
},
{
"date": "2054-11-05",
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"zero_rate": 0.05285420950438695
},
{
"date": "2055-02-05",
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"zero_rate": 0.05287616739692664
},
{
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"zero_rate": 0.052897049306878836
},
{
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"discount_factor": 0.20523916885268986,
"zero_rate": 0.052918272432837365
},
{
"date": "2055-11-05",
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"zero_rate": 0.052939136142764937
},
{
"date": "2056-02-05",
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"zero_rate": 0.052959649490127325
}
],
"slope": 0.6252136024923152,
"slope_deg": 4.4686795927928555
},
{
"currency": "AUD",
"name": "AUD_IBOR",
"points": [
{
"date": "2026-02-05",
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},
{
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},
{
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},
{
"date": "2026-11-05",
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},
{
"date": "2027-02-05",
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"zero_rate": 0.039810067327489596
},
{
"date": "2027-05-05",
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},
{
"date": "2027-08-05",
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},
{
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"zero_rate": 0.041405671410383496
},
{
"date": "2028-02-05",
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},
{
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},
{
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"zero_rate": 0.04142229313357268
},
{
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"zero_rate": 0.041576963046867005
},
{
"date": "2029-02-05",
"discount_factor": 0.8806795893030596,
"zero_rate": 0.041735499299339285
},
{
"date": "2029-05-05",
"discount_factor": 0.8712470102279343,
"zero_rate": 0.04187232865897604
},
{
"date": "2029-08-05",
"discount_factor": 0.8615792176721501,
"zero_rate": 0.04200139284182001
},
{
"date": "2029-11-05",
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"zero_rate": 0.04212683437685495
},
{
"date": "2030-02-05",
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"zero_rate": 0.04225544897384248
},
{
"date": "2030-05-05",
"discount_factor": 0.8331821948127953,
"zero_rate": 0.04238777948921251
},
{
"date": "2030-08-05",
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"zero_rate": 0.04253667853835722
},
{
"date": "2030-11-05",
"discount_factor": 0.8140962444213053,
"zero_rate": 0.04270104157352755
},
{
"date": "2031-02-05",
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"zero_rate": 0.04288342096111088
},
{
"date": "2031-05-05",
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},
{
"date": "2031-08-05",
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"zero_rate": 0.04329511650903044
},
{
"date": "2031-11-05",
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"zero_rate": 0.04352433742090908
},
{
"date": "2032-02-05",
"discount_factor": 0.7661756426626888,
"zero_rate": 0.0437625656430955
},
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],
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}
CAD
2026-02-05
Request:
{
"curves": [
{
"currency": "CAD",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.03445,
"1Y": 0.023700000000000002,
"20Y": 0.03765,
"2Y": 0.02579,
"30Y": 0.038849999999999996,
"3M": 0.022000000000000002,
"3Y": 0.02598,
"5Y": 0.02943
}
},
{
"currency": "CAD",
"curve_type": "IBOR",
"discount_curve_name": "CAD_OIS",
"quotes": {
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"1Y": 0.023700000000000002,
"20Y": 0.03765,
"2Y": 0.02579,
"30Y": 0.038849999999999996,
"3M": 0.022000000000000002,
"3Y": 0.02598,
"5Y": 0.02943
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
"curves": [
{
"currency": "CAD",
"name": "CAD_OIS",
"points": [
{
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"discount_factor": 1.0,
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},
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},
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},
{
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},
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},
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{
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{
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{
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{
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{
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],
"valuation_date": "2026-02-05"
}
CHF
2026-02-05
Request:
{
"curves": [
{
"currency": "CHF",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.00642,
"12Y": 0.0074399999999999996,
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"1Y": -0.00029,
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}
},
{
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"curve_type": "IBOR",
"discount_curve_name": "CHF_OIS",
"quotes": {
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"7Y": 0.00447,
"8Y": 0.00513,
"9Y": 0.00575
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
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"name": "CHF_OIS",
"points": [
{
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"discount_factor": 1.0,
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EUR
2026-02-05
Request:
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{
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{
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{
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{
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{
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],
"slope": 1.7663710446319751,
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}
],
"valuation_date": "2026-02-05"
}
GBP
2026-02-05
Request:
{
"curves": [
{
"currency": "GBP",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.04367,
"12Y": 0.04491,
"15Y": 0.046340000000000006,
"1Y": 0.03786,
"20Y": 0.04775,
"25Y": 0.048330000000000005,
"2Y": 0.038060000000000004,
"30Y": 0.04839,
"3M": 0.03739999999999999,
"3Y": 0.03866,
"4Y": 0.03941,
"5Y": 0.0401,
"6Y": 0.040810000000000006,
"7Y": 0.041589999999999995,
"8Y": 0.04232,
"9Y": 0.04299
}
},
{
"currency": "GBP",
"curve_type": "IBOR",
"discount_curve_name": "GBP_OIS",
"quotes": {
"10Y": 0.04367,
"12Y": 0.04491,
"15Y": 0.046340000000000006,
"1Y": 0.03786,
"20Y": 0.04775,
"25Y": 0.048330000000000005,
"2Y": 0.038060000000000004,
"30Y": 0.04839,
"3M": 0.03739999999999999,
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"5Y": 0.0401,
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"7Y": 0.041589999999999995,
"8Y": 0.04232,
"9Y": 0.04299
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
"curves": [
{
"currency": "GBP",
"name": "GBP_OIS",
"points": [
{
"date": "2026-02-05",
"discount_factor": 1.0,
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},
{
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},
{
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},
{
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},
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},
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},
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},
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{
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},
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},
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},
{
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},
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},
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{
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{
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{
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{
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}
],
"valuation_date": "2026-02-05"
}
JPY
2026-02-05
Request:
{
"curves": [
{
"currency": "JPY",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.02046,
"12Y": 0.022010000000000002,
"15Y": 0.02416,
"1Y": 0.01069,
"20Y": 0.027080000000000003,
"25Y": 0.02887,
"2Y": 0.01306,
"30Y": 0.02984,
"3M": 0.0074199999999999995,
"3Y": 0.01458,
"4Y": 0.015629999999999998,
"5Y": 0.01649,
"6Y": 0.0173,
"7Y": 0.01811,
"8Y": 0.018883,
"9Y": 0.01967
}
},
{
"currency": "JPY",
"curve_type": "IBOR",
"discount_curve_name": "JPY_OIS",
"quotes": {
"10Y": 0.02046,
"12Y": 0.022010000000000002,
"15Y": 0.02416,
"1Y": 0.01069,
"20Y": 0.027080000000000003,
"25Y": 0.02887,
"2Y": 0.01306,
"30Y": 0.02984,
"3M": 0.0074199999999999995,
"3Y": 0.01458,
"4Y": 0.015629999999999998,
"5Y": 0.01649,
"6Y": 0.0173,
"7Y": 0.01811,
"8Y": 0.018883,
"9Y": 0.01967
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
"curves": [
{
"currency": "JPY",
"name": "JPY_OIS",
"points": [
{
"date": "2026-02-05",
"discount_factor": 1.0,
"zero_rate": 0.006885877297917406
},
{
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"zero_rate": 0.0073291143461924535
},
{
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},
{
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},
{
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},
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},
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},
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{
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{
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},
{
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{
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"zero_rate": 0.030757485506027533
},
{
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{
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{
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{
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},
{
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{
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},
{
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}
],
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}
],
"valuation_date": "2026-02-05"
}
NZD
2026-02-05
Request:
{
"curves": [
{
"currency": "NZD",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.04553,
"3M": 0.0252
}
},
{
"currency": "NZD",
"curve_type": "IBOR",
"discount_curve_name": "NZD_OIS",
"quotes": {
"10Y": 0.04553,
"3M": 0.0252
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
"curves": [
{
"currency": "NZD",
"name": "NZD_OIS",
"points": [
{
"date": "2026-02-05",
"discount_factor": 1.0,
"zero_rate": 0.024833060153927444
},
{
"date": "2026-05-05",
"discount_factor": 0.9938202301846184,
"zero_rate": 0.025074378715318642
},
{
"date": "2026-08-05",
"discount_factor": 0.9871511962583238,
"zero_rate": 0.02572123143438867
},
{
"date": "2026-11-05",
"discount_factor": 0.9801363437058881,
"zero_rate": 0.026457482326388365
},
{
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],
"valuation_date": "2026-02-05"
}
USD
2026-02-05
Request:
{
"curves": [
{
"currency": "USD",
"curve_type": "OIS",
"discount_curve_name": null,
"quotes": {
"10Y": 0.041525,
"1D": 0.0369,
"1M": 0.03639999999999999,
"1Y": 0.037679,
"2Y": 0.036559,
"30Y": 0.045019,
"3M": 0.03689999999999993,
"3Y": 0.036939,
"4Y": 0.037469,
"5Y": 0.038339,
"6Y": 0.03891,
"7Y": 0.03965
}
},
{
"currency": "USD",
"curve_type": "IBOR",
"discount_curve_name": "USD_OIS",
"quotes": {
"10Y": 0.041525,
"1D": 0.0369,
"1M": 0.03639999999999999,
"1Y": 0.037679,
"2Y": 0.036559,
"30Y": 0.045019,
"3M": 0.03689999999999993,
"3Y": 0.036939,
"4Y": 0.037469,
"5Y": 0.038339,
"6Y": 0.03891,
"7Y": 0.03965
}
}
],
"valuation_date": "2026-02-05"
}
Response:
{
"curves": [
{
"currency": "USD",
"name": "USD_OIS",
"points": [
{
"date": "2026-02-05",
"discount_factor": 1.0,
"zero_rate": 0.03704779639540919
},
{
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},
{
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},
{
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},
{
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},
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},
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},
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