Setting start date for fxforward and is it possible to get the data of multiple tenors and fx forwar
fwd_contract = cross.Definition(fx_cross_code='GBPCNY',
fx_cross_type='FxForward',
legs = [cross.LegDefinition(start_date='2024-06-30T00:00:00Z', tenor='3M')])
response = fc.get_cross_analytics(fwd_contract,
fields = ['StartDate',
'EndDate',
'FxSwapsCcy1Ccy2',
'FxOutrightCcy1Ccy2'])
print(response.data.df)
I read the documentation and isn't start_date suppose to be in legdefinition, but when i run the code it turns into error
TypeError: LegDefinition.__init__() got an unexpected keyword argument 'start_date'
also can I only search 1 result in a time? I want to achieve a similar effect of exporting all the tenors available of an exchange when I search it on SPO. Many Thanks!!
Best Answer
-
Thank you for reaching out to us.
Are you using the Refinitiv Data Platform Library?
import refinitiv.dataplatform as rdp
start_date in the legdefinition is available in Refintiv Data Library for Python.
import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import cross0
Answers
-
Hi @Sheep
Have a look at the sample below. It may help you to understand how to use start_date parameter and also how to price more than one tenor at the time.
import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import cross
rd.open_session()
cross.Definition(
instrument_tag="Fx-Forward",
fx_cross_type=cross.FxCrossType.FX_FORWARD,
fx_cross_code="GBPCNY",
legs=[
cross.LegDefinition(tenor="SW"),
cross.LegDefinition(tenor="1M"),
cross.LegDefinition(tenor="2M"),
cross.LegDefinition(tenor="10M"),
cross.LegDefinition(tenor="2Y"),
cross.LegDefinition(start_date="2024-08-01",end_date="2024-08-20"),
],
pricing_parameters=cross.PricingParameters(
valuation_date="2024-07-18"),
extended_params={"instrumentDefinition":
{"fxCrossType": "FxMultileg"}},
fields=[
"StartDate",
"EndDate",
"Tenor",
"FxSwapsCcy1Ccy2",
"FxOutrightCcy1Ccy2"
]).get_data().data.df1 -
Thanks for the response. I am quite new so I am still confused on what to do. I was using rdp
import refinitiv.dataplatform as rdp
import datetime
from refinitiv.dataplatform.content.ipa.contracts import cross
from refinitiv.dataplatform.content.ipa import FinancialContracts as fc
rdp.open_desktop_session('appkey')
fwd_contract = cross.Definition(fx_cross_code='GBPCNY',
fx_cross_type='FxForward',
legs = [cross.LegDefinition(start_date='2024-06-30T00:00:00Z', tenor='3M')],
pricing_parameters=cross.PricingParameters(price_side=cross.PriceSide.ASK))
#valuation_date="2024-07-17T00:00:00Z",
response = fc.get_cross_analytics(fwd_contract,
fields = ['StartDate',
'EndDate',
'FxSwapsCcy1Ccy2',
'FxOutrightCcy1Ccy2'])
print(response.data.df)
0 -
nvm sorry I didn't see the other message, it was great help
0
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