Indices & Fixings

Overview

SDS manages the definitions of reference indices and their historical fixing values (if applicable). These are used by the pricing and curve-building services to value floating rate instruments and to interpolate curves.

There are two related data types:

• Index — defines a reference rate (e.g. SOFR, EURIBOR, SONIA) and its market conventions
• Index Fixing — the observed rate value for an index on a specific date

Reference Indices

See data definition in viewer for the most up to date definition

An index defines the conventions needed to work with a floating rate:

Field	Type	Description
name	String	Unique index name. Normalised to uppercase on save (e.g. SOFR, EURIBOR3M)
type	IndexType	INTEREST_RATE, INFLATION, EQUITY
subType	IndexSubType	OVERNIGHT, IBOR
currency	Currency	Currency the index is denominated in
tenor	String	Tenor of the rate, e.g. 3M, 6M, ON
dayCountConvention	DayCount	Day count convention, e.g. ACT_360, ACT_365F
businessDayConvention	BusinessDayConvention	How dates are adjusted for non-business days
settlementDays	int	Standard spot lag
calendars	String	Comma-separated holiday calendar names
forecastCurve	String	Name of the forecast curve used for this index

Index names are case-insensitive when referenced in instruments (e.g. referenceIndex on a floating rate bond or swap leg).

Creating an Index

1. In Key UI, navigate to Indices under Static Data Server and click New
2. Set the required fields. name and currency are required
3. Save — the index is immediately published and available for use in instruments and fixings

Index Fixings

An index fixing records the observed rate for an index on a specific date.

Field	Type	Description
index	String	Name of the index (must already exist). Normalised to uppercase.
date	int (YYYYMMDD)	The fixing date
rate	Decimal	The observed rate value for that date

The combination of (index, date) is the unique key.

note

An index must exist before any fixing can be added for it. Attempting to add a fixing for an unknown index will fail with an error.

Loading Window

At startup, SDS only loads fixings from the last N days, controlled by KS_SDS_INDEX_FIXING_DAYS (default: 365). This keeps startup time and memory footprint bounded for indices with many years of history.

Adding or Editing a Fixing

The date and index fields of a fixing are immutable once created.

Easiest way to add or Edit a fixing is from the Index Editor in Key UI (Indices page under Static Data Server)

Relationship to Instruments

Floating rate bonds and IR swaps reference an index by name:

• InstrumentDto.referenceIndex — the floating rate index for a floating-rate bond or swap receive leg
• Swap leg definitions reference the index for each floating leg

Pricing and curve building services subscribe to both the index definitions and fixings published by SDS.