IRS Template Definitions in Instrument Pricing Analytics

mikael.ohman
mikael.ohman
in Refinitiv Data Platform

Hey. I am looking for a way to download the templates available in the Instrument Pricing Analytics api.

For example. I want to know the definition of: CNY_QM7R .

As well as definitions of standard templates for other currencies. My use case is then to modify them slightly and make additional requests.

Is there such an API route available?

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Best Answer

  • aramyan.h
    aramyan.h
    Answer ✓

    Hi @mikael.ohman ,


    Thank you for your question. Our latest Refinitiv Data Library offers functions to get IPA data, including Financial Contracts and Curves/Surfaces. Please have a look at the example templates from our Github Repo for financial contracts and for Curves/Surfaces.

    Hope that will be helpful. Feel free to let me know should your have any further questions.

    Best regards,

    Haykaz

Answers

  • mikael.ohman
    mikael.ohman 
    response = swap.Definition(
        tenor='65M',
        start_date='2022-05-14',
        template='MXN_MB1T',
        pricing_parameters=swap.PricingParameters(
            valuation_date='2022-02-03', discounting_ccy="MXN", discounting_tenor="OIS"
        ),


    Thanks for the links. Using the above idea, I could find the answer to some of the details of how the templates are defined. I was not able to value the Brazilian Lira swap but will start a separate topic for that.

  • umer.nalla
    umer.nalla

    Hi @mikael.ohman

    Not a content expert so not sure what CNY_QM7R represents - however, looking at one of the above examples:

    Example.DataLibrary.Python/EX-2.08.03-IPA-CurvesAndSurfaces-ZCCurveDefinitions.ipynb at main · Refinitiv-API-Samples/Example.DataLibrary.Python (github.com)

    If I access the raw output from the Definitions request:

    response = zc_curve_definitions.Definition(source="Refinitiv").get_data()
    response.data.raw

    I can see the raw output includes the following CNY

        {'currency': 'CNY',
         'mainConstituentAssetClass': 'Swap',
         'riskType': 'InterestRate',
         'indexName': 'REPO',
         'source': 'Refinitiv',
         'name': 'CNY REPO Swap ZC Curve',
         'firstHistoricalAvailabilityDate': '2007-02-28',
         'id': 'cdcec3d8-6fc5-4c37-b9e4-969c8f2ae82f',
         'owner': 'Refinitiv',
         'availableTenors': ['7D'],
         'availableDiscountingTenors': ['7D']},


    If you want to see the detailed definition of a curve, you can request the curve itself and then review the output.

    response = zc_curves.Definition(
        constituents={},
        curve_parameters=zc_curves.ZcCurveParameters(
        ),
        curve_definition=zc_curves.ZcCurveDefinitions(
            id="cdcec3d8-6fc5-4c37-b9e4-969c8f2ae82f",
            discounting_tenor="7D"
        ),
    ).get_data()

    response.data.raw

    which includes the curve data as well as the definition e.g.:

    {'data': [{'curveDefinition': {'currency': 'CNY',
        'mainConstituentAssetClass': 'Swap',
        'riskType': 'InterestRate',
        'indexName': 'REPO',
        'source': 'Refinitiv',
        'name': 'CNY REPO Swap ZC Curve',
        'id': 'cdcec3d8-6fc5-4c37-b9e4-969c8f2ae82f',
        'discountingTenor': '7D',
        'ignoreExistingDefinition': False,
        'constituentOverrideMode': 'MergeWithDefinition',
        'availableTenors': ['7D'],
        'availableDiscountingTenors': ['7D'],
        'owner': 'Refinitiv',
        'indexTenors': ['7D']},
       'curveParameters': {'extrapolationMode': 'None',
        'interpolationMode': 'CubicDiscount',
    ..... and so on...



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