How can I get the EURIBOR 6M forward curve through the python API? Interest rate swap valuation.

f.janeiro
f.janeiro
in Eikon Data APIs

My objective is to price an existing interest rate swap on the fly using python.

In order evaluate the IRS floating leg I need from the python API the:

1 - Euribor 6M Forward curve (Derived from the Euribor 6M zero curve one can find in the reuters eikon swap pricer) to forecast the swap future cash flows.

2 - The OIS EONIA zero curve to discount the cashflows.

I already have in my database the swap structure (cash flows and dates). I just need to upload the rates and then interpolate the values in python. However, I need the above mention curves.

Can please someone help me on this?

Best

FJ

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    You can browse zero curves available from Refinitiv real-time datafeed by typing in <ZEROCURVES> into a Quote app in Eikon. From this page you can navigate to swap based and OIS-derived zero curves. To retrieve the curve use get_data method of Eikon Data APIs, e.g. to retrieve the 6-month Euribor swaps zero curve use

    ek.get_data('0#EURABSEZ=R',['GV4_TEXT','MATUR_DATE','PRIMACT_1','SEC_ACT_1'])

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