Super Curve
Built for a market Western models can't handle
The problem with existing systems
Fixed-income trading and information systems are over-simplistic: based on each bond or IRS's yield-to-maturity, they cannot monitor the whole market in real time and are easily misled by an irregular data feed prone to errors and fake trades.
Designed for China
Western fixed-income technology assumes a liquid market with a complete, accurate data feed. China's erratic data environment — missing quotes, illiquid segments, erroneous and fake trades — invalidates those assumptions. Super Curve was purpose-built for this market and all its complexity.
A semi-parametric model
A semi-parametric zero-coupon curve offers the best trade-off between the flexibility to match market data and the smoothness that keeps prices and yields consistent across the entire maturity range.
Real-time by construction
Quotes and transactions are collected from available sources and fed into the model as they arrive, keeping every segment of the market permanently up to date.
One curve, every desk
Market makers
Maintain a bid and an offer at any time, for any security, without the risk of quoting off the market.
Brokers
Monitor market consistency in real time and best serve their clients.
Traders
See the whole market clearly, identify mispricing and take strategic positions efficiently.
Risk managers
Get an error-free historical record of the entire fixed-income market to compute statistics and risks.
What Super Curve delivers
- ▸Permanently updated, accurate prices and yields of all commonly traded fixed-income securities.
- ▸Unbiased bid and offer suggestions for securities that have no live quote.
- ▸Historical daily and intraday series of quotes and transactions, with model yields compared against quoted or transacted yields.
- ▸Identification of market anomalies: yield spreads and butterflies.
- ▸Trade suggestions: T-bonds vs. CDB and other bond types, on-the-run vs. off-the-run, bond vs. IRS, inter-maturity spreads and butterflies.
Instruments and data
Instruments covered
- ▸Treasury Bonds (TB) — issued out to 50 years
- ▸China Development Bank Bonds (CDB) — out to 30 years
- ▸Export-Import Bank of China & Agricultural Development Bank of China Bonds (EIBC & ADBC)
- ▸SHIBOR3M interest-rate swaps (SHI3M-IRS)
- ▸FR007 interest-rate swaps (FR007-IRS)
Data source
Data is provided by Shanghai CFETS-NEX International Money Broking and covers instruments from one day to 50 years, depending on the security type.
How the curve is constructed
Semi-parametric zero-coupon curve
The zero-coupon yield curve is represented by a combination of cubic spline basis functions — flexible enough to match the market, smooth enough to enforce consistency.
Logarithmic scaling
Both maturity and rates are modeled on a logarithmic scale, so the curve behaves well from one day to 50 years and stays stable where quotes are sparse.
Ridge least squares & oscillation control
A ridge regularization criterion suppresses unrealistic oscillations between quoted maturities without biasing the fit.
Robust statistics
Erroneous prints and fake trades are detected and eliminated statistically, so a single bad tick cannot distort the curve.
Real-time fitting
The curve is re-fitted as new quotes and transactions arrive, keeping every maturity segment permanently current.
IRS, non-T-bond curves & tax adjustment
Swaps are fitted as virtual bonds alongside T-bonds; separate curves are built for CDB, EIBC and ADBC bonds, with tax effects adjusted where relevant.
Read the full specification
The full model specification: data sources, the semi-parametric zero-coupon curve, robust statistics for filtering erroneous prints, and coverage of Chinese bonds and interest-rate swaps.
See the curves live
Super Curve is available as a hosted application or deployed on your own infrastructure. Talk to us about coverage, data feeds and licensing.