Hi,We have some of our transactions in illiquid currencies (like BRL, ARS, INR). In order to price these products, I need the following set of market data :- swap curve- OIS curve (if existing)- basis spread curve(s)- cross-currency basis spread curve(s)- cap volatility surface- swaption volatility surface- FX spot- FX forward curve- FX volatility surfaceUsually for other purposes or very liquid currencies, I have been requesting the data directly from Bloomberg. However, for some currencies there is just no data available, or the quality of data is just too bad (triggering some arbitrageable boundaries in Numerix, what we are using for pricing our transactions). For these reasons mentioned, so far, we have already been buying our FX data from external data vendor (Superderivatives). At the moment, we have been considering to buy the rest (or the most) of our market from some external data vendor. Now, just for getting some idea, how the others may generally have been coping with this issue (market data in general), I would like to ask the following questions : - from what source are you getting market data? - what about some of those illiquid currencies?- are you using any proxy data for some illiquid currencies?- how are you checking the data quality?- what kind of modifications you make for market data, before using it for any valuations?- how have you been arranging your daily market data process? automatic, semi-automatic or manual?if you have been using any external data vendor, then :- was this vendor able to satisfy all your data needs?Thanks for your comments.PS. Bloomberg API Wrapper for C#-Mike

I have used some proxies for certain currencies but it was only for calculating GMR and some of the illiquid currencies were a part of it. If you are looking to actually price products, I would recommend try getting the data directly of the central bank website.