Reuters RICs - EURIBOR1MD vs EUR1MD

kennethlou · October 6th, 2010, 2:25 pm

I am trying to build a Yield Curve for EUR.A yield curve consists of short term libor rates (cash deposit), medium term (future) and long term (swaps)For the short term libor rate (cash deposit), do we use RtGet("IDN","EURIBOR1MD=","PRIMACT_1")orRtGet("IDN","EUR1MD=","PRIMACT_1")?btw what are the differences between the two RICs?

daveangel · October 6th, 2010, 2:29 pm

euribor must be the daily fixing for 1m EUR rateEUR1MD is the 1 month depo

kennethlou · October 6th, 2010, 8:55 pm

Hey I would like to borrow your wisdom once more. If I want to price a short-term FX forward, should I be using fixing or depo? Apparently depo and fixing should be similar but I checked Reuters just now and they are quite different. Any idea?

cpulman · October 8th, 2010, 2:03 pm

For anything sub-1yr you should just use the market fx fwd price as this is far more liquid than any basis market. As discussed elsewhere, using deposits to price fx fwds will throw up all kinds of trouble... dealers use OIS or the swap curve or whateve to give them a relative value sense of whether the Xccy basis spread between the two curves are cheap/rich, but by and large, you just just use the broker fx fwd pages...