A Realised Rate Calculator
This article was written by Umer Nalla. You can read the full article, including code snippets, on the Developer Portal.
Navigating the LIBOR Transition with Refinitiv’s Realised Rate Calculator
The financial world is currently undergoing a significant shift with the phasing out of the London Interbank Offered Rate (LIBOR). This benchmark interest rate, used globally for decades, is being replaced by Risk-Free Rates (RFRs) such as the Sterling Overnight Index Average (SONIA) in the UK and the Secured Overnight Financing Rate (SOFR) in the USA.
This transition is being overseen by the Financial Conduct Authority (FCA), and it represents a considerable challenge for market participants. They must adapt their systems and processes to accommodate these new rates, which are fundamentally different from LIBOR.
To assist in this transition, Refinitiv offers a range of tools and APIs. One of these is the Financial Contracts API, which includes a Realised Rate Calculator. This calculator allows users to compute Realised Risk-Free Rates, a crucial component in the pricing and risk management of many financial instruments in the post-LIBOR era.
The article provides an example of how to use the Financial Contracts API to create an Interest Rate Swap instrument and calculate the Accrued Percentage for the floating rate. This practical demonstration illustrates the API’s capabilities and how it can be integrated into a firm’s systems.
In addition to the Financial Contracts API, Refinitiv provides other resources to help developers navigate the LIBOR transition. The Quantitative Analytics Dates & Calendar API, for instance, offers functionality for handling date calculations, a critical aspect of financial contract management.
The Refinitiv Data Platform (RDP) Library is another valuable resource. It provides a unified approach to accessing Refinitiv’s wide range of financial data and services, simplifying the development process and reducing the learning curve for developers.
In conclusion, the LIBOR transition is a complex process, but with the right tools and resources, firms can successfully navigate this change. Refinitiv’s APIs and data platform offer robust solutions to meet the challenges of this new financial landscape.
In the accompanying source code, Umer created a simple UI to make it easier to calculate the Realised Rate with input values of my choice:
Given the input values of 24/02/2020 to 24/03/2020 for £10,000 GBP (therefore SONIA) on a 365-day count basis, I get a realised rate of 0.4669 — which is the same as the value generated by NatWest Reference rate generator.
Additional Resources
You will find links to the Source code, APIs and Related Articles in the Links Panel
