Yield curve - Python refinitiv.dataplatform

dmitry.benediktovich
dmitry.benediktovich
in Refinitiv Data Platform

Hi, I'm using Python refinitiv.dataplatform. I would like to obtain Yield curve data (EURIBOR, SONIA, SOFR, PRIBOR,...).

I tried this code and it didn't help:

endpoint = rdp.Endpoint(session,'https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/interest-rate-curves/definitions/triangulate')
request_body = {

"universe": [
{ "currency": "EUR",
"indexName": "EURIBOR",
"source": "Refinitiv"} ]}
reeponse = endpoint.send_request(method = rdp.Endpoint.RequestMethod.POST, body_parameters = request_body)


Also, I tried this:

rdp.open_platform_session(APP_KEY, rdp.GrantPassword(username=RDP_LOGIN, password=RDP_PASSWORD))
url = "https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/interest-rate-curves/definitions/triangulate"
payload = json.dumps({

"universe": [ { "currency": "EUR", "indexName": "EURIBOR", "source": "Refinitiv" } ]})
headers = { 'Content-Type': 'application/json'}
response = requests.request("POST", url, headers=headers, data=payload)



Is there any possible solution?

Thanks!

DB


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Best Answer

  • umer.nalla
    umer.nalla
    Answer ✓

    Hi @dmitry.benediktovich

    Can you please expand on what actually happens? What does the response.data.raw contain?

    I just tried the 1st of your requests and I get back:

    {'data': [{'directCurveDefinitions': [{'isDefaultPivot': False,
         'currency': 'CHF',
         'mainConstituentAssetClass': 'Swap',
         'riskType': 'InterestRate',
         'indexName': 'SARON',
         'source': 'Refinitiv',
         'name': 'CHF SARON Swap ZC Curve',
         'firstHistoricalAvailabilityDate': '2015-02-26',
         'id': 'c3618470-4161-4f35-a4da-adcf970d5af1',
         'owner': 'Refinitiv',
         'availableTenors': ['OIS'],
         'availableDiscountingTenors': ['OIS']},
        {'isDefaultPivot': False,
         'currency': 'CHF',
         'mainConstituentAssetClass': 'Swap',
         'riskType': 'InterestRate',
         'indexName': 'LIBOR',
         'source': 'Refinitiv',
         'name': 'CHF LIBOR Swap ZC Curve',
         'firstHistoricalAvailabilityDate': '2015-02-26',
         'id': '8bf899eb-ab35-484e-86d4-83dabe0d7f51',
         'owner': 'Refinitiv',
         'availableTenors': ['OIS', '1M', '3M', '6M'],
         'availableDiscountingTenors': ['OIS', '1M', '3M', '6M']},
        {'isDefaultPivot': False,
         'currency': 'JPY',
         'mainConstituentAssetClass': 'Swap',
         'riskType': 'InterestRate',
         'indexName': 'TIBOR',
         'source': 'Refinitiv',
         'name': 'JPY TIBOR (EMEA) Swap ZC Curve',
         'marketDataLocation': 'EMEA',
         'firstHistoricalAvailabilityDate': '2015-08-13',
         'id': 'a865716b-e437-4045-84b5-f6483d8b6a25',
         'owner': 'Refinitiv',
         'availableTenors': ['OIS', '1M', '3M', '6M'],
         'availableDiscountingTenors': ['OIS', '1M', '3M', '6M']},
    and so on....

    Do you have valid RDP MachineID + credentials and AppKey?



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