SOFR SWAP Curve

vlad.dimanshteyn
vlad.dimanshteyn
in Eikon Data APIs

I would like to retrieve SOFR SWAP Curve. What's the mnemonic for it and how do I retreive it? TY

Tagged:

Best Answer

  • jonathan.legrand
    jonathan.legrand
    Answer ✓

    Hi @vlad.dimanshteyn,


    Please note that this forum is for technical questions related to LSEG technology (more specifically, LSEG APIs). For content questions such as yours, we suggest using myrefinitiv.

    With that said, I had a quick look for you. I see that you taged your question with "eikon-data-api" (EDAPI), but I would suggest using its successor, RD Lib. If you have access to EDAPI, you will have access to RD Lib.
    Looking on Workspace, I foudn the following RICs that may be of interest to you: "USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y=".
    Personally, I would suggerst looking for the SOFR SWAP for a specific horizon (e.g.: SOFR SWAP 10 year). This is how I found the above.
    Assuming you are coding in Python, you can find data in ways similar to this:


    # !pip install refinitiv-data
    import refinitiv.data as rd
    rd.get_history(
        universe=["USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y="],
        fields=["TR.CLOSEPRICE", "CF_CLOSE", "CLOSE", "BID", "CF_BID", "CF_ASK", "CF_LAST", "PRIMACT_1"], # , "TR.ACCUMULATEDVOLUME"
        start="2023-01-01",
        end="2023-07-01",
        # interval='daily'
        )



Answers

  • vlad.dimanshteyn
    vlad.dimanshteyn
    Thank you Jonathan. I would like to get current data, not history, do I just use rd.get_data instead of rd.get_history?

    is LSEG the request/response API set? TY

    Too many confusing acronyms here ....

  • jonathan.legrand
    jonathan.legrand

    Hi @vlad.dimanshteyn,

    Yes you can get real time this way:


    rd.get_data(
        ["USDSOFR=", "USDSR3L10Y="], #["USDSOFR=","SOFR1MAVG=","USDSR3L10Y="],
        ["TR.CLOSEPRICE","CF_CLOSE","CLOSE","BID","CF_BID","CF_ASK","CF_LAST","PRIMACT_1"],#,"TR.ACCUMULATEDVOLUME"
        )


    1696154017305.png


Categories