FX Forward Curve Constituents

Hi, I am trying to source FX Forward curves via Python. The first step is obviously to get the constituents of the curve under consideration. If we consider RIC= "ZAROR=FMD", the following is working:

from datetime
import datetime, date
import json
import lseg.data as rdp
import pandas as pd
import ref
rom lseg.data.content import historical_pricing

def get_curve(ric):# Connect to the Refinitiv Data Platform rdp.open_session()
# Define the fields to retrieve fields = ['LONGLINK1', 'LONGLINK2', 'LONGLINK3', 'LONGLINK4', 'LONGLINK5', 'LONGLINK6', 'LONGLINK7', 'LONGLINK8', 'LONGLINK9', 'LONGLINK10', 'LONGLINK11', 'LONGLINK12', 'LONGLINK13', 'LONGLINK14', 'LONGNEXTLR']
# Retrieve the curve data df = rdp.get_data(universe=ric, fields=fields)
# Close the session rdp.close_session()
return df
# Example usage:ric = "ZAROR=FMD"curve_data = get_curve(ric)print(curve_data.iloc[0,:])

However, it only source the underlying instrument up to 7 months. Could you please help me to get the longer maturity instruments as well?

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Accepted answers

Jirapongse

@GuillaumeGiliomee

Thank you for reaching out to us.

You can use the chain method in the LSEG Data Library for Python to expand that chain.

chain = Chain("ZAROR=FMD")
chain.constituents

You can also refer to the example on GitHub.

All comments

Jirapongse

@GuillaumeGiliomee

Thank you for reaching out to us.

You can use the chain method in the LSEG Data Library for Python to expand that chain.

chain = Chain("ZAROR=FMD")
chain.constituents

You can also refer to the example on GitHub.

GuillaumeGiliomee

Thank you so much @Jirapongse, this is really helpful. Could I ask you a follow up question on this. Now that I am able to get the constituents, it enable me to get the historical prices for a specific date. Are you aware of approach I can follow to get (or calculate) the maturity date of the instruments? Currently I have this:

chain = Chain("ZAROR=FMD")
hist = ld.get_history( universe=chain.constituents,
fields=["TR.MIDPRICE"],
interval="1D",
start="2026-02-03",
end="2026-03-02")

GuillaumeGiliomee

Or if there is no clearcut answer to the above question, maybe perhaps a way to just get the tenors (e.g., 1M, 2M,…) of each of the constituents? Thank you @Jirapongse

Jirapongse

@GuillaumeGiliomee

Sorry. I can't answer content related questions.

The best resource for content questions is the Helpdesk support team, which can be reached by submitting queries through LSEG Support. The support team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

You need to ask for the Excel formula, such as =RDP.Data, that can be used to retrieve the required data. Then, we can help you converting that formula to Python code.

Please include the URL of this discussion in your raised question to prevent it from being redirected back to this Q&A forum.

Jirapongse

@GuillaumeGiliomee

I found those values in the GV4_TEXT field so the code looks like this:

chain = Chain("ZAROR=FMD")
ld.get_data(
    universe = chain.constituents,
    fields = ['GV4_TEXT'])

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