Script for interpolating data on RDP - Instrument Pricing Analytics

Anthony.Llamas
Anthony.Llamas
in Refinitiv Data Platform

Hi Team,


Seeking your expertise on a client query for interpolating data on RDP - IPA


Client is using the below query to receive the curve points back with discount factor and rate percent.


Endpoint used https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves

"universe": [

{

"curveDefinition": {

"currency": "USD",

"indexName": "LIBOR",

"mainConstituentAssetClass": "Swap",

"discountingTenor": "3M",

"id": "1ef0692f-1cde-4b71-bad7-e39198633e0e"

},

"curveParameters": {

"valuationDate": "2021-12-29"

},

"forwardCurveDefinitions": [

{

"indexTenor": "3M",

"forwardCurveTag": "HL_forwardCurve",

"forwardStartDate": "2021-12-29",

"forwardCurveTenors": [

"0M",

"1M",

"3M",

"6M",

"9M",

"12M",

"18M",

"24M",

"36M",

"48M",

"60M",

"72M",

"84M",

"96M",

"108M",

"120M",

"132M",

"144M",

"156M",

"168M",

"180M",

"192M",

"204M",

"216M",

"228M",

"240M",

"252M",

"264M",

"276M",

"288M",

"300M",

"312M",

"324M",

"336M",

"348M",

"360M",

"372M",

"384M",

"396M",

"408M",

"420M",

"432M",

"444M",

"456M",

"468M",

"480M"

]

}

]

}

]

}


If possible, could you provide us a sample where it can additionally have the forward dates and the operation interpolate results based on a cubic spline and calculate a rate for each of the forward dates that was sent in: e.g:

12/29/2021

1/31/2022

2/28/2022

3/31/2022






Tagged:

Best Answer

  • m.bunkowski
    m.bunkowski
    Answer ✓

    Hi @Anthony.Llamas

    You can dates in ISO 8601 format YYYY-MM-DD in "forwardCurveTenors"

    ...
    "forwardStartDate": "2021-12-29",
     "forwardCurveTenors": [
     "2021-12-29",
     "2022-01-31",
     "2022-02-28",
     "2022-03-31",
     "0M",
     "1M",
    ...


Answers

  • Anthony.Llamas
    Anthony.Llamas

    Hi @marcin.bunkowski01

    Thanks for the previously given suggestion. We do have follow-up question

    We have taken your suggestion and made the call with dates inside the forwardCurveTenors

    "curveParameters": {

    "valuationDate": "2021-12-29"

    },

    "forwardCurveDefinitions": [

    {

    "indexTenor": "3M",

    "forwardCurveTag": "HL_forwardCurve",

    "forwardStartDate": "2021-12-29",

    "forwardCurveTenors": [

    "2021-12-29",

    "2022-01-31",

    "2022-02-28",

    "2022-03-31",

    And received the following output back, however, the ratePercent and discountFactor output fields do not have the expected values. Are there any other output fields that can return the forward rates?

    "forwardCurves": [

    {

    "curvePoints": [

    {

    "endDate": "2021-12-29",

    "startDate": "2021-12-29",

    "discountFactor": 1,

    "ratePercent": 0.25314444482626985,

    "tenor": "2021-12-29"

    },

    {

    "endDate": "2022-01-31",

    "startDate": "2021-12-29",

    "discountFactor": 0.999771445000988,

    "ratePercent": 0.25314444482626985,

    "tenor": "2022-01-31"

    },

    {

    "endDate": "2022-02-28",

    "startDate": "2021-12-29",

    "discountFactor": 0.999512445820983,

    "ratePercent": 0.29223054266751536,

    "tenor": "2022-02-28"

    },

  • m.bunkowski
    m.bunkowski

    Hi @Anthony.Llamas

    If you think that the results are incorrect please reach out to the content support opening a ticket here.

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