The TRF Conversion Parameters files provide the following data on a daily basis:
- Contract referential data: Contract code, Maturity, Number of days to expiry, Daily Settlement Price, etc.
- Pricing of Funding leg and Dividend leg: Daily accrued funding, Daily accrued dividend, Accumulated funding, Accumulated dividend, etc.
A Start Of Day (SOD) file is available before opening with limited data at 09:20 CET and an End Of Day (EOD) file is available after closing with extended data before 20:00 CET.
The detailed file specifications are available on connect.