When one think about realtime market data, you can think about spot rates, security prices, swap points, market quotes, etc… But there are couple of things to be aware of when you work with them.

Let’s start with swap points. Swap points are effectively a forward FX rate such as swap points = FX Forward – Fx spot.  In Murex, you can use swap points directly into the curve (and then there is no issue) but you can also use swap points to deduce a zero coupon rate and then deduce a deposit rate.

For instance, if you consider: Fx Forward = Fx spot + Swap points and Fx Forward = Spot * Df(USD)/Df(XXX) (XXX being another currency, note that the ratio of discount factors might be inverted depending on the quotation of the pair). As such, you end up with

Fx spot + Swap points = spot*Df(USD)/Df(XXX) and then Df(XXX) = Fx spot * Df(USD) / (Fx spot + Swap points).

So if you have Spot, the USD rates and the swap points, you can then deduce the currency discount factor. The problem is that you are feeding all parameters at the same time and depending on your refresh cycle you might end up computing the swap points using an old fx spot (or an old USD rate) and because you are not storing the swap points, the swap points value recomputed by Murex is then different to the one you imported initially. Most of the time it is fine as all the market data is refreshed every x seconds, so even if you don’t hit the exact initial swap point value, you will be very close.

The problem is actually more vicious when you start combining feeding market quotes from multiple sources. I have seen it before and people don’t always realize that it can cause errors:

To feed a market quote in a curve, you can use the market rates sheet, the rate curve directly and the swap points. While I would advise against using the rate curve directly through realtime (rtcu node), you need to decide for each instrument/pillar if you will be using swap points OR market rates sheet. You cannot have both otherwise they would be superseding each other and results could sometimes become inconsistent as Murex would read the lastest updated one, while you expect a specific source.

I know in the past, we had a tough time trying to understand why 2 refreshes of market data would cause the market data swap points to be different even if the cache was not changing.