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Discount Factor Curves
Production-ready Discount Factor Curves built from liquid market inputs, supporting pricing, valuation, risk management, and analytics across major global rates markets.
Discount Factor Curves Sourced from:
The Parameta Solutions Difference
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Standardized curves
Provide an independent market-based input that can complement existing curve-building frameworks
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Broad market coverage
Available across major global rates markets, currencies and benchmark frameworks.
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Long-dated maturities
Coverage extends across the curve, with maturities reaching up to 60 years where available.
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Reduce operational and model risk
Support consistent discounting workflows using standardized curve construction
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Multi-currency consistency
Access curves across AUD, CAD, CHF, EUR, GBP, JPY, USD and additional markets through a consistent framework.
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Flexible delivery options
Available via Direct Delivery, WebSocket, SFTP, Snowflake and managed data services.
Simplifying Curve Construction and Discounting Workflows
Accurate discount curves are fundamental to pricing, valuation, risk management, collateral management and regulatory reporting activities. However, building and maintaining curves internally requires significant quantitative expertise, technology infrastructure, governance frameworks and ongoing maintenance.
Parameta Solutions Discount Factor Curves provide a production-ready alternative. Built using market-observed inputs, liquid futures, interest rate swaps, benchmark rates and established curve calibration techniques, the service delivers a consistent view of interest rate term structures across global markets.
Designed for rates trading desks, risk managers, quants, asset managers, hedge funds, banks, and dealers, the curves support front-to-back workflows while helping reduce the operational complexity associated with internal curve construction.
Available under both the TP and ICAP brands, the service delivers transparent curve data across multiple currencies, tenors and maturity profiles.
Data to support across the trade lifecycle
Pre-trade
Point-of-trade
Use real time data for price discovery and to assist with entry and exit decisions.
Post-trade
We provide data to compliance teams to monitor market activities in real-time and detect potential compliance violations.
Two Easy Ways to Connect to Discount Factor Curves
Direct
Instant access through API, WebSokcet or SFTP channels.
Cloud
Access via our cloud partners including Snowflake and AWS.
The numbers speak for themselves
35
+
Discount Factor Curves available at launch
60
Y
Maturities extending up to approximately 60 years where available
10
+
Major currencies and benchmark frameworks covered
Get your data sample
Complete the form and tell us which asset class/instrument you would like to see.
Discount Factor Curves FAQs
What are Discount Factor Curves?
Discount Factor Curves provide the term structure of interest rates used to calculate the present value of future cash flows. They form a key input in the pricing and valuation of derivatives, fixed income products and other financial instruments.
How are Parameta Solutions Discount Factor Curves sourced?
The curves are derived using TP ICAP market expertise and calibrated using liquid market instruments, including risk-free rate benchmarks, futures, interest rate swaps and other relevant market inputs.
Who uses Discount Factor Curves?
The data is designed for Rates Trading Desks, Risk Managers, Quantitative Research Teams, Structurers, Asset Managers, Hedge Funds, Banks and Dealers.
Which currencies are covered?
Coverage includes major markets such as USD (SOFR), EUR (€STR and EURIBOR), GBP (SONIA), CAD (CORRA), CHF (SARON), JPY (TONAR), AUD (AONIA/BBSW) and additional currencies where sufficient liquidity exists.
How often are the curves updated?
Discount Factor Curves are available on an intraday and end-of-day basis, providing timely access to market information.
What outputs are included?
The service includes:
- Discount Factors
- Zero-Coupon Rates
- Forward Rates
- Future Factor Curves
- Full Term Structures across available tenors
How is the data delivered?
Data can be accessed via Direct Delivery, WebSocket, SFTP, Snowflake and other managed delivery solutions.
Why would firms use production-ready curves rather than build them internally?
Standardized curves can help reduce the quantitative, technology, governance and operational resources required to construct and maintain curve frameworks internally, allowing firms to focus on pricing, valuation and risk management activities.