Retrieve EUR IRS in Python

lian.fernandez

Hi Dev team,

I am trying to retrieve EURAB3EIRS= using codebook. Using syntax below, I am only getting n/a as output

df, err = ek.get_data('EURAB3EIRS=',['GV4_TEXT','MATUR_DATE','PRIMACT_1','SEC_ACT_1'])

display(df)

Note that this syntax works for 0#EURABSEZ=R

pf

Hi @lian.fernandez ,

Always with refinitv.data lib but another way using chain API and rd.get_data function :

import refinitiv.data as rd

session = rd.session.desktop.Definition(app_key=APP_KEY).get_session()
session.open()
rd.session.set_default(session)

EURAB3EIRS_chain = rd.content.pricing.chain.Definition(name='EURAB3EIRS=').get_stream()
EURAB3EIRS_chain.open(False)
print('EURAB3EIRS= constituents :', EURAB3EIRS_chain.constituents)

euro = rd.get_data(universe=EURAB3EIRS_chain.constituents, fields=['GV4_TEXT', 'MATUR_DATE', 'PRIMACT_1', 'SEC_ACT_1'])
print(euro)

outputs:

EURAB3EIRS= constituents : ['EURAB3E6M=', 'EURAB3E9M=', 'EURAB3E1Y=', 'EURAB3E18M=', 'EURAB3E2Y=', 'EURAB3E3Y=', 'EURAB3E4Y=', 'EURAB3E5Y=', 'EURAB3E6Y=', 'EURAB3E7Y=', 'EURAB3E8Y=', 'EURAB3E9Y=', 'EURAB3E10Y=', 'EURAB3E11Y=', 'EURAB3E12Y=', 'EURAB3E13Y=', 'EURAB3E14Y=', 'EURAB3E15Y=', 'EURAB3E16Y=', 'EURAB3E17Y=', 'EURAB3E18Y=', 'EURAB3E19Y=', 'EURAB3E20Y=', 'EURAB3E25Y=', 'EURAB3E30Y=', 'EURAB3E40Y=', 'EURAB3E50Y=']

     Instrument GV4_TEXT MATUR_DATE  PRIMACT_1  SEC_ACT_1
0    EURAB3E6M=   6M     2023-06-28      2.673      2.703
1    EURAB3E9M=   9M     2023-09-28      3.019      3.049
2    EURAB3E1Y=   1Y     2023-12-28      3.188      3.238
3   EURAB3E18M=   18M    2024-06-28      3.324      3.334
4    EURAB3E2Y=   2Y     2024-12-30      3.318      3.324
5    EURAB3E3Y=   3Y     2025-12-29      3.192      3.232
6    EURAB3E4Y=   4Y     2026-12-28      3.079       3.12
7    EURAB3E5Y=   5Y     2027-12-28       3.04      3.081
8    EURAB3E6Y=   6Y     2028-12-28      3.014      3.055
9    EURAB3E7Y=   7Y     2029-12-28      2.997      3.038
10   EURAB3E8Y=   8Y     2030-12-30      2.993      3.034
11   EURAB3E9Y=   9Y     2031-12-29        3.0      3.041
12  EURAB3E10Y=   10Y    2032-12-28      3.014      3.055
13  EURAB3E11Y=   11Y    2033-12-28      3.027      3.068
14  EURAB3E12Y=   12Y    2034-12-28      3.033      3.074
15  EURAB3E13Y=   13Y    2035-12-28      3.062      3.072
16  EURAB3E14Y=   14Y    2036-12-29      3.044      3.054
17  EURAB3E15Y=   15Y    2037-12-28      3.007      3.048
18  EURAB3E16Y=   16Y    2038-12-28       2.87       2.88
19  EURAB3E17Y=   17Y    2039-12-28      2.987      2.997
20  EURAB3E18Y=   18Y    2040-12-28      2.499      2.509
21  EURAB3E19Y=   19Y    2041-12-30      2.901      2.941
22  EURAB3E20Y=   20Y    2042-12-29      2.833      2.874
23  EURAB3E25Y=   25Y    2047-12-30      2.633      2.674
24  EURAB3E30Y=   30Y    2052-12-30      2.464      2.505
25  EURAB3E40Y=   40Y    2062-12-28      2.276       2.31
26  EURAB3E50Y=   50Y    2072-12-28       2.04      2.081

jonathan.legrand

Hi @lian.fernandez ,

My understanding is that 'EURAB3EIRS=' is a swap and '0#EURABSEZ=R' is a chain of RICs made by Refinitiv showing instruments that (when put together) showcases insights that cannot be seen on an individual RIC basis (e.g.: Yield Curve). These are two different types of instruments, so their fields will also be different. Please use the DIB to find the fields relevent to any one instrument.

Looking at EURAB3EIRS=, I can see that it constitutes of several other RICs:

I looked into the fields you were after for these constituents:

df1 = rd.get_data('EURAB3EIRS=',[f'LONGLINK{i}' for i in range(4, 8)])

df2 = rd.get_data(

df1.loc[0].to_list(),

['GV4_TEXT','MATUR_DATE','PRIMACT_1','SEC_ACT_1'])

Does this result in the data you were after?