Interest rate swap (currently in SWPR) in the CODEBK application

oscarjr

I am trying to follow the help guidance of modeling an interest rate swap (currently in SWPR) in the CODEBK application. However, I think I must be doing something wrong because I am seeing a variance between the two. Can you help with what I am doing wrong? I reached out to the LSEG Help Desk who assisted with developing the query in Python (see .txt attachment). I am also including the output of SWPR which I am trying to model in codebook. Note I think I should be using MoneyMarket basis, so I will update this in the SWPR and Python code, however, the difference still remains.

oscarjr

This is what we have tried so far based on Documentation | Devportal

import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import swap
rd.open_session()
response = swap.Definition(
    instrument_tag="Example",
    start_date="2024-01-01",
    end_date="2031-01-01",
    legs=[
        swap.LegDefinition(
            direction=swap.Direction.PAID,
            notional_ccy="USD",
            interest_payment_frequency=swap.Frequency.MONTHLY,
            interest_type=swap.InterestType.FIXED,
            interest_calculation_method="Dcb_Actual_360",
            payment_business_day_convention="ModifiedFollowing",
            interest_calculation_convention="BondBasis",
            fixed_rate_percent = 1.72,
            interest_payment_delay=0,
            notional_amount = 150_000_000
        ),
        swap.LegDefinition(
            direction=swap.Direction.RECEIVED,
            notional_ccy="USD",
            interest_payment_frequency=swap.Frequency.MONTHLY,
            index_reset_frequency = swap.Frequency.MONTHLY,
            index_name="SOFR",
            index_tenor="1M",
            interest_type=swap.InterestType.FLOAT,
            interest_calculation_method="Dcb_Actual_360",
            payment_business_day_convention="ModifiedFollowing",
            spread_bp=0.0,
            interest_payment_delay=0,
            notional_amount = 150_000_000
        ),
    ],
    pricing_parameters=swap.PricingParameters(
        valuation_date="2026-04-04T00:00:00Z",
        use_legs_signing=True
    )
).get_data()

import pandas as pd
pd.set_option('display.max_columns', None)

df = response.data.df

a = df['MarketValueInDealCcy'].sum() - 12387693.86

print(f"Swap NPV: {df['MarketValueInDealCcy'].sum():,.2f}")
print("Per SWPR: 12,387,693.86")
print(f"Difference: {df['MarketValueInDealCcy'].sum() - 12387693.86:,.2f}")
print("DV01: -58,598.04")
print(f"Valuation difference is {a/58598.04:.3f} DV01 shocks")
df
rd.close_session()

 

This returns:

 

Swap NPV: 12,381,209.16Per SWPR: 12,387,693.86Difference: -6,484.70DV01: -58,598.04Valuation difference is -0.111 DV01 shocks

 

The difference is closer. Although when we try to put more details on both legs e.g.

 

import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import swap
rd.open_session()
response = swap.Definition(
    instrument_tag="Example",
    start_date="2024-01-01",
    end_date="2031-01-01",
    legs=[
        swap.LegDefinition(
            direction=swap.Direction.PAID,
            notional_ccy="USD",
            interest_payment_frequency=swap.Frequency.MONTHLY,
            interest_type=swap.InterestType.FIXED,
            notional_exchange="None",
            interest_calculation_method="Dcb_Actual_360",
            interest_calculation_convention="BondBasis",
            payment_business_day_convention="ModifiedFollowing",
            adjust_interest_to_payment_date="Unadjusted",
            stub_rule="ShortFirstProRata",
            payment_roll_convention="Same",
            fixed_rate_percent = 1.72,
            interest_payment_delay=0,
            notional_amount = 150_000_000
        ),
        swap.LegDefinition(
            direction=swap.Direction.RECEIVED,
            notional_ccy="USD",
            interest_payment_frequency=swap.Frequency.MONTHLY,
            index_reset_frequency = swap.Frequency.MONTHLY,
            index_reset_type="InAdvance",
            index_name="SOFR",
            index_tenor="1M",
            interest_type=swap.InterestType.FLOAT,
            notional_exchange="None",
            interest_calculation_method="Dcb_Actual_360",
            interest_calculation_convention="BondBasis",
            payment_business_day_convention="ModifiedFollowing",
            adjust_interest_to_payment_date="Unadjusted",
            stub_rule="ShortFirstProRata",
            payment_roll_convention="Same",
            spread_bp=0.0,
            interest_payment_delay=0,
            notional_amount = 150_000_000
        ),
    ],
    pricing_parameters=swap.PricingParameters(
        valuation_date="2026-04-04T00:00:00Z",
        use_legs_signing=True
    )
).get_data()

import pandas as pd
pd.set_option('display.max_columns', None)

df = response.data.df

a = df['MarketValueInDealCcy'].sum() - 12387693.86

print(f"Swap NPV: {df['MarketValueInDealCcy'].sum():,.2f}")
print("Per SWPR: 12,387,693.86")
print(f"Difference: {df['MarketValueInDealCcy'].sum() - 12387693.86:,.2f}")
print("DV01: -58,598.04")
print(f"Valuation difference is {a/58598.04:.3f} DV01 shocks")
df
rd.close_session()

 

This returns:

 

 

Swap NPV: 12,196,700.99Per SWPR: 12,387,693.86Difference: -190,992.87DV01: -58,598.04Valuation difference is -3.259 DV01 shocks

 

The difference is much larger.

When we put more details as in the second, for some reason the difference is bigger.