I am looking at CME IRS data.
CME archived irs data has following format:
Effective_Date,Curve Name,Date,OFFSET,Zero,DF 05/28/2021,EUR-EURIBOR-6M,06/01/2021,4,-0.005214716872464,1.0000580186500299 05/28/2021,EUR-EURIBOR-6M,12/01/2021,187,-0.005156239040213,1.0026854376059500 05/28/2021,EUR-EURIBOR-6M,06/01/2022,369,-0.005015096460145,1.0051601978553000 05/28/2021,EUR-EURIBOR-6M,12/01/2022,552,-0.004853903520038,1.0074795311764200 05/28/2021,EUR-EURIBOR-6M,06/01/2023,734,-0.004640879119401,1.0095182452494600 05/28/2021,EUR-EURIBOR-6M,06/03/2024,1102,-0.004070222617065,1.0125502000256001 05/28/2021,EUR-EURIBOR-6M,06/01/2061,14614,0.004552619012409,0.8314359484263660
CME daily irs close quotes has following format:
CURVE_NAME,TENOR,RATE EUR-EURIBOR 6M,2 Years,-0.4533750000 EUR-EURIBOR 6M,3 Years,-0.3937710000 EUR-EURIBOR 6M,5 Years,-0.2515510000 EUR-EURIBOR 6M,10 Years,0.1051120000 EUR-EURIBOR 6M,30 Years,0.4688120000
CME archive irs data after every month end. We can see that 'TENOR' in daily close quotes becomes ['OFFSET','Date'] in archived files, which is more accurate in archives.
I wonder what's the connection between 'RATE' in daily close quotes and ['Zero','DF'] in archives?
I check this way, but not tie. Any specific document from CME for explanation?