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Commodity Options data (Option Price)
Hi, Using the API, is there a way to retrieve options data (mainly option prices) for commodities (e.g., 0#NG+, 0#CL+) from a past date? For example, I need the values of some Natural Gas and Crude options as of 12/29/2023. Is it possible to get option prices for those options on that specific day? Currently, I use the…
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Python Refinitiv Data IPA Financial Contract IR Swap intra-day pricing with datetime
I'm trying to price a SOFR swap at intra-day time periods. The documentation implies that a datetime can be provided, however, responses from the service show no valuation differences if a different time is used. See below for example code and outputs. response = rdf.Definitions( universe=[swap.Definition(…
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How to get the cds curve code from a bond ISIN?
For example, I have a bond ISIN XS1061711575, and I want to use python code to get the cds curve code 0#AEGNEUAMRBMK=. How can I make it work? Thank you so much!
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IPA Financial Contracts for Fx Cross api - error responses
I am using the IPA Financial Contracts for Fx Cross api to resolve Fx prices. I have made the same request (see payload below) several times over a period of 2-3 hours. Sometimes I receive an error response, sometimes I get a successful response. The error response was: QPS-Pricer.8020:Market data: No Fx Spot Point…
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Define constituents instruments of zero rate curve and then calculate
Hi, I am exploring zc_curves inside refinitiv.data.content.ipa.curves and want to define constituents of the curve by myself, e.g. choose some tenors of the IRS rather than using refinitiv default instruments. Then when I pull the zero rate curve, refinitiv calculates the curve based on my selected instruments. Is it…
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Bond calculator - cash flow
How is it possible to create the "norm factor" and "residual amount usd" column in bond calculator cash flow section using Eikon API or codebook? If so, is it possible to have these columns for multiple bond ISINs?
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User data for ReferenceCurve under IPA ZC-curves
Dear Developer community I'm trying to generate ZC Curves using Custom/user data by indicating a curveConstituents. I am able to do it for Curve subject to calculation, but i'm not able to the same for ReferenceCurve. i Want to generate ZC curve using EUR as Collat and then should be used as referencecurve. many thanks for…
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Forward Valuation as on specific Time & Date using refinitiv.data.content.ipa.financial_contracts.cr
By default forward valuation takes Spot as of NY Close. Tried passing datetime string. But its just taking NY Close. Is there any other parameter which an help to take spot rate as of a particular time ? pricing_parameters=cross.PricingParameters( market_data_date=specific_date_and_time,…
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Understanding why certain bonds return no data from RDP "get_bond_analytics" python function
I am using the RDP python package's `get_bond_analytics` function to get bond cashflow data like so: ``` import refinitiv.dataplatform as rdp from refinitiv.dataplatform.content.ipa import bond df = rdp.get_bond_analytics( universe=[<List of RICS codes>], fields=[ 'Isin', 'RIC', 'Cusip', 'Sedol', 'Ticker',…
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Option Contracts - Eti - Dictionary
Hello, What is the proper URL for contracts' properties? I am looking at the following URL for Equity Options: https://developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-financial-contracts-option-contracts-eti but the property names found in the URL under <Pricing…
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RDP IPA: Floored swap market value array
I'm using the python RDP financial contracts swap module to value a "Floored Swap" instrument. The code runs as expected, and returns the values as expect. However, as part of the output, I would like to see an array of the Floor Market Values (by cashflow date). Something similar to the output from a cap using the output…
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Python RDP: IPA Financial Contracts: Caps/Floors, how to add "firstRegularPaymentDate" argument
Hi, I am trying to add an argument for "firstRegularPaymentDate" to the definition of a CAP instrument. I can see on the API that this argument is permitted, however, I can't work out how to add this argument in Python RDP. I need to use the RDP not API to perform this calculation. Documentation of available term in the…
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Timezone or date determination for Quantitative Analytics IPA MarketDataDate
Hello, I am using the RDP Quantitative Analytics financial-contracts API https://developers.refinitiv.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-financial-contracts-bond-contracts My question is about the date logic when the MarketDataDate is left unspecified. The specs…
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Historical volatility surface or option data
Hello, I am looking for a way to retrieve, via either Eikon API or Refinitiv Data Library for Python, the historical volatility surface (ie at any given date, a matrix of IV with option strikes along cloumns and option tenors along rows) of options on both equity indices and individual stocks. Alternatively, it would…
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Calculate Caplets volatility surface using RDP Surfaces IPA with user inputs
dear developer community i have a question regarding the use of RDP Surfaces IPA (https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces). indeed, the IPA accpet as parameter to specify a source, i'm wondering if rather than indicating a contributor source if it's possible to specify as input…
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When using rd.content.ipa.financial_contracts.option, how can I overwrite multiple arguments at once
With this python code using RDP, I am trying to sent 100 requests in one go (the max this endpoint accepts). How can I entre several dictionaries in `extended_params`? definition = rd.content.ipa.financial_contracts.option.Definition( # IPA = instrument Pricing Analytics instrument_code=instrument,…
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Timeout errors and too many requests for instrument pricing analytics
Hey. I am calling the instrument pricing analytics serivce, specifically: https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts import refinitiv.dataplatform as rdp ... endpoint = rdp.Endpoint(session, 'https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts') req =…
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ipa financial contracts Swaption python API not working for call_put = 'PUT'
I am trying to to use the Swaption Pricer via the Python Eikon Api, and it seems that the functionality does not work if the Swaption is specified as a call option. For a put option I get reasonable results, but for a call option I only get None values. See below example: This one works: swapDef =…
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Could you please confirm why the following outputs aren't the same?
Could you please confirm why the following outputs aren't the same? Using Eikon Data API in Python: RIC = 'AUMG0620P=' ek.get_data(RIC,"TR.DV01AmountAnalytics(ValuationDate=2022-08-30)") I get 5.38 Using IPA for bonds rdp.get_bond_analytics( universe = [ "AUMG0620P=" ], calculation_params = bond.CalculationParams(…
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Custom term FX forward rate calculation by IPA
Does RDP IPA API provide capabilities to calculate custom term FX forward rate such as USD/JPY forward rate for delivery after 115 days? If it's the case, can you please let me know any documentation which indicates what parameters we need to set in an API request to retrieve the calculated forward rates?
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RDP IPA Volatility Surface: which is the maximum tenor limit ?
Hi all, I'm sending a request to get RDP IPA volatility surface matrix in the way below and I get tenors until 2Y maximum. Is this the limit or is it possible to extend it until 10Y as requested by our customer ? Many thanks and best regards Alessandro RESPONSE { "data": [ { "surfaceTag": "EtiVolatilitySurfaceExample",…
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RDP Endpoint for and implied deposit calculation
Hi RDP experts, Do you know if currently there is a way to get the implied deposit rates for custom tenors via an RDP IPA endpoint? Thanks!
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I'm working with a customer who is using IPA to calculate cash flows from their bond portfolio.
Their question concerns the fixed to float conversion and if this function is providing a discounted forward curve interest projection and can we modify the forward curve in the request api?
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Apparent inconsistency in GPB Libor 6M ZC curve
Good Morning, I am using RDP to retrieve GBP Libor 6M curve, and I have noticed that there is a difference with the data that I get from the Eikon Desktop Application using the RIC for Zero Coupon Curves 0#GBPSBSLZ=R. I would appreciate if you could explain me the reasons for the difference that I am going to show now. In…
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Currently, we get prefixed benchmarks like TONA TSR by old-style data flow but for the new benchmark
Currently, we get prefixed benchmarks like TONA TSR by old-style data flow from Refinitv but for the new benchmark like TONA compounding rate, we get it by using IPA service. Is there a way to get the rate of SOFR ICE Swap Rate and FB of it?
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get_option_analytics InstrumentTag = None
If I run the following code : import refinitiv.dataplatform as rdp import datetime import asyncio rdp.open_desktop_session('key') test = rdp.ipa.FinancialContracts.get_option_analytics(universe = ["ADBEL232168000.U", "ADBEL232169000.U"]) print(test.data.df) The InstrumentTag you would expect to return the inputted rics:…
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IPA for bonds in API Playground.
Hi Team, I hope you are doing well! I need to find in the API Playground the equivalent of the API that I am using in Python for bonds: from refinitiv.dataplatform.content.ipa import bond rdp.get_bond_analytics( universe = ["91282CCS8="], #RIC fields = ["RedemptionPrice"] #FIELDS ) I can't find it since there are a lot of…
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List of available parameters for IPA API in Python
Hi there, I was wondering if there was a list of available input parameters for IPA API in Python, similar to these: calculation_params = bond.CalculationParams( market_data_date="2020-07-05", price_side = ipa.enum_types.PriceSide.BID, most of the time, I can add underscore between words to make it work, but for parameters…
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How to download all rdp.get_bond_analytics 's fields via Python Eikon data API
df = rdp.get_bond_analytics( universe = universe, fields = ["InstrumentCode", "NotionalCcy", "PositionInDealCcy", "InterestPaymentFrequency", "CashFlowDatesArray", "CashFlowInterestAmountsInDealCcyArray", "CashFlowCapitalAmountsInDealCcyArray" ] ) Above are from sample code of cash flow sample. Just want to download more…
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How do I adjust Values of yAxis displayed on Matrix of FX Volatility Surface IPA?
I am retrieving matrix of IPA FX Volatility surface by using sample file on Github: https://github.com/Refinitiv-API-Samples/Article.RDPLibrary.Python.VolatilitySurfaces_Curves However, Values of yAxis seems not correctly displayed on Matrix of FX Volatility Surface IPA. Although setting up yValues as below in parameter of…
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How do I set up call/put in parameter for IPA FX Volatility surface API ?
A way to set up Call/Put in parameter for IPA FX Volatility surface API is not mentioned in the document"IPA Volatility Surfaces : FX". In Eikon FXVE, call delta and put delta are automatically come up in the bottom section by selecting "delta" as Y axis on the top left of the app: (Y axis=delta) (Call delta/Put delta)…
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RDP IPA FX Volatility
I am trying to plot fx vol surf using the file I found on Git Hub in below link. https://github.com/Refinitiv-API-Samples/Article.RDPLibrary.Python.VolatilitySurfaces_Curves File name "Vol Surfaces Webinar.ipynb". It worked for ETI option but for FX Volatility Surface, it returned error. Vol Surfaces Webinar.zip…
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How to retrieve interest rate volatility cube
Hi, I am currently trying to understand the response of the example code in here: Firstly, I would like to know if it is possible and how to retrieve the normal volatilities. I would also like to understand what is the content of 'calibrationParameters', the data structure is not well defined and there are negative values.…
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How to resolve the error 'The service failed to build the volatility surface'
When I executed the following script on CodeBook using RDP Libraries, I could plot a 3D chart of volatility surface, but I can NOT do so today having the following error message. Can you please let me know the root cause of the error and how to resolve it? INPUT: import refinitiv.dataplatform as rdp import pandas as pd…
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Does Refinitiv supports SONIA curve?
Hi all, Similar to libor, sofr we were trying to see if we can pull forward rates base of SONIA. @Meenakshi.Swarnkar, @samuel.schwalm
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Total Return Swap (TRS) evaluation
Hi Team, One of our clients is very interested in IPA and would like to know whether IPA supports the evaluation for Total Return Swap (TRS)? Could you advise on this? Thanks, Leo
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Documentation for IPA API
Hi Refinitiv Dev, I need help where I can get Developers Guide and Documentation for IPA API. Regards, josa
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Refinitiv Data Platform APIs - error when requesting data
I have my EDP login credentials and clientid/app key generated. Now I am running the first basic python script , but getting an error message. Seems like I get the token, but data request is failing, an someone please advise on what I may be missing: c:\data\RDP\dev\sampleCode\IPA\python\samples>python timeSeries.py…
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IPA Volatility Surfaces API - The underlying connection was closed: An unexpected error occurred on
While testing the the IPA Volatility Surfaces API , we sometimes randomly get the error message: "The underlying connection was closed: An unexpected error occurred on a send." The documentation for the IPA Volatility Surfaces API (…
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Retrieving previous day's volatility surface via IPA
Hi Team, I ask this question on behalf of an existing client of IPA in Hong Kong, who asked some questions described as below. As we are developing some fallback mechanisms in case of no data returned, would like to know when would we be able to access previous day end data for US indices (say, .SPX)? May I also confirm…