How to collect interest rate swap day count conventions in Eikon Python api?

refinitivdocreader

The Eikon desktop application has a "Description" page for swaps (USD1YOIS=) that presents contract specification data such as day-count convention, holiday calendar, and reference rate RIC. Is there a way to locate Python api field names for these items?

I could not locate them in the Data Item Browser, or using the TR Eikon MS Office formulas, as suggested in the Eikon Python docs.

More broadly, is there a method that will list all fields that can be queried using:

eikon.get_data(ric, fields)

Such a field list could be a time-saver, even if most returned values are null.

nick.zincone

Hi @michelhugo.battistini

I also could not find the specific details you are after. In situations like this, I would recommend you raise a content query within the desktop, via "Help & Support" using Help or the function key: F1. They can bring in a content special who can help with these data fields.

Michel B

Hi @refinitivdocreader

It seems that this IPA (Instrument Pricing Analytics) GET endpoint that lists the various swaps conventions, meets your requirements:

https://api.refinitiv.com/data/quantitative-analytics/v1/metadata-beta/templates/swaps?currencies=EUR,USD

Here is a shortened view of the response:

{
  "EUR": [
    {
      "template": "EURCBS",
      "name": "Euro 3-Month Euribor vs US dollar 3-Month Libor",
      "structure": "LBOTH CROSS:EURUSD CLDR:EMU,USA PEX:BOTH DMC:M EMC:S CFADJ:YES LPAID LTYPE:FLOAT CUR:EUR  CCM:MMA0 FRQ:4 LRECEIVED LTYPE:FLOAT CUR:USD CCM:MMA0 FRQ:4 DC:USD",
      "legs": [
        {
          "direction": "Paid",
          "interestType": "Float",
          "paymentRollConvention": "Same",
          "paymentBusinessDayConvention": "ModifiedFollowing",
          "stubRule": "Maturity",
          "paymentBusinessDays": "EMU,USA",
          "interestCalculationMethod": "Dcb_Actual_360",
          "adjustInterestToPaymentDate": "Adjusted",
          "interestPaymentDelay": 0,
          "interestPaymentFrequency": "Quarterly",
          "notionalCcy": "EUR",
          "indexName": "EURIBOR",
          "indexTenor": "3M",
          "indexFixingLag": -2
        },
        {
          "direction": "Received",
          "interestType": "Float",
          "paymentRollConvention": "Same",
          "paymentBusinessDayConvention": "ModifiedFollowing",
          "stubRule": "Maturity",
          "paymentBusinessDays": "EMU,USA",
          "interestCalculationMethod": "Dcb_Actual_360",
          "adjustInterestToPaymentDate": "Adjusted",
          "interestPaymentDelay": 0,
          "interestPaymentFrequency": "Quarterly",
          "notionalCcy": "EUR",
          "indexName": "EURIBOR",
          "indexTenor": "3M",
          "indexFixingLag": -2
        }
      ],
      "isOis": false,
      "isDefault": false
    }
}

Regards

Michel