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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 can I retrieve in Excel historical swaption volatility surfaces?
I need to get swaption volatility surfaces for a time lenght of at least 8/9 years. I have 14 different exercise dates and 14 different tenors. It is for my master thesis. I looked up at the Q&A and I tried to insert them with RHistory function: =RHistory("EUR3MX1Y=TTKL; EUR3MX2Y=TTKL; EUR3MX3Y=TTKL; EUR3MX4Y=TTKL;…
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How to retrieve historical swaption volatilities in Excel?
I need to get swaption volatility surfaces for a time lenght of at least 10 years. It is for my master thesis. I looked up at the Q&A and I tried to insert them with RHistory function: =RHistory("USD3MFSR";"BID.TIMESTAMP;BID.CLOSE";"NBROWS:1500 INTERVAL:1D";"CH:IN;Fd STREPEAT:N";B3) Unfortunately it's not working. It says…
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Historical CDS Data for all S&P 500 firms
Hello, I want to export historical data on 3-year CDS spreads for firms included in the S&P 500 index, with an annual snapshot as of March 31st for each year from 2014 through 2023. As I am new to working with financial data sets, I would greatly appreciate a step-by-step guide on how to access and export this specific…
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Refinitiv data library for Python to price a USD 5Y swap USD_SB3L and a swaption which take the same
hello, when I use refinitiv data library for Python to price a USD 5Y swap USD_SB3L and a swaption which take the same swap as underlying, I don't get the same value in FixedRatePercent of the swap and in the StrikePercent of the swaption, but they should be the same ? FixedRatePercent of swap in this result import…
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IRS pricing using user defined forward curves
Hello, I have successfully constructed a custom forward curve using my own parameters and instruments through RDP API. forward_zcCurve_endpoint = rdp.Endpoint(session, "https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves") user_defined_zc_response =…
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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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SOFR SWAP Curve
I would like to retrieve SOFR SWAP Curve. What's the mnemonic for it and how do I retreive it? TY
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SOFR SWAP CURVE
I'm trying to get SOFR SWAP Curve in real time. How would I do that? I have used Eikon in the past but your RDP library may have improved and I can use it?
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How can I get intraday data from today? Since today start of day until the time the script is run?
I would like to get intraday data until the time of the day I'm running the script. The only way I've found so far to get intraday if by using get_timeseries function. However, that only allows me to get the intraday data from previous dates before today. In below example i get data per minute for the 29th, but not for the…
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IRS Template Definitions in Instrument Pricing Analytics
Hey. I am looking for a way to download the templates available in the Instrument Pricing Analytics api. For example. I want to know the definition of: CNY_QM7R . As well as definitions of standard templates for other currencies. My use case is then to modify them slightly and make additional requests. Is there such an API…
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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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How to collect interest rate swap day count conventions in Eikon Python api?
The Eikon desktop application has a "Description" page for swaps (USD1YOIS=) that presents contract specification data such as day-count convention, holiday calendar, and reference rate RIC. Is there a way to locate Python api field names for these items? I could not locate them in the Data Item Browser, or using the TR…
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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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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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How to get Cross Currency Basis discount curves with RDP
Hi, I would like to ask how to get the cross-currency basis discount curve. For example, It can be seen in the Eikon desktop application under the ric 0#EURUSDQQZ= (for EURvsUSD). I didn't see any endpoint which can retrieve those kinds of curves in the API playground and I was wondering if I am missing something out.…
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How to retrieve Swaption Volatility in Excel API, e.g. http://emea1.apps.cp.thomsonreuters.com/Explo
Raising the query on an external client's behalf: Client is seeking assistance on how to pull the Swaption Volatility as seen in this page Home > Fixed Income > Interest Rate Derivatives > Swaptions Eikon link: http://emea1.apps.cp.thomsonreuters.com/Explorer/GuideDefault.aspx?s=GFI40+AL+3&st=Menu+G+C&context=OV using…
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ChainStepByStepExample gives only names but require swap rates
Hi I am following the "ChainStepByStepExample" example from github link https://github.com/Refinitiv-API-Samples/Example.EMA.Java.ValueAddObjectsForEMA But this example only gives only names of all elements of the chain. I want streaming of real time EUR BID,ASK and mid swap rates in real time for all the tenors that are…
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bid, ask and mid side of the swap rate
Hi I am using Elektron Java API EMA to get the realtime market price data. I got the following ask from one of my teammates: "I want to stream bid, ask and mid side of the swap rate in real time for all the tenors that are available along with the name of the contributor and timestamp." Can anybody let me know, which…
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fx swap maturity
Hi, I'm trying to get historical data for fx swaps in jupyter notebook (date, close , days_maturity). ek.get_timeseries only seems to show OHLC and volume. I'm not quite sure on how to use the ek.get_date. sd = "2020-06-01" ed = "2020-06-05" df,err= ek.get_data(["JPY1M=","JPY2M="], ['CF_DATE','CF_Last',"DAYS_MAT"],…
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How can I get the EURIBOR 6M forward curve through the python API? Interest rate swap valuation.
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…
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Best Swap Rates
In Bloomberg you can find the tickers sfsw2, sfsw3, sfsw4, ..., sfsw20 These CHF swap rates are based on a 6-month Libor. These are so-called Bloomberg Composite Rates (CMP). Bloomberg therefore selects the best bid and the best ask from a large number of interest rates. Is there an alternative to these rates in Reuters?…
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Retrieving historical swaption volatility with ek.get_data
Hello, I am trying to retrieve historical BasisPoint OIS-discounted swaption volatility in Python. I managed to retrieve the latest values with the following command for example for EUR 1m10y volatility: ek.get_data('EUR1MX10Y=ICAP', 'GEN_VAL1') But when I try adding the start date and end date parameters…
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FX swap rates
Dear all We are using Reuters feed to get the FX swaps. Now there are various RICs like O/N, T/N, S/N and then Week, 2 Week and so on. What should be the terms (no. of days) associated with O/N, T/N and S/N? In our system, we can have only 1 term associated with 1 RIC. Thanks a lot Pankaj