IPA Analytics API to calculate analytics

Question

He is using the IPA Analytics API to calculate analytics — including Spread Duration — for a list of bonds. Some of these instruments are Floating Rate Notes (FRNs), and for most of them no spread duration is being returned (e.g. ). However, when we run IPA on individually, a Spread Duration value is correctly returned. Could you please investigate this behaviour and help the user get a Spread Duration for this full list of FRNs? can you pls provide a full visibility on SpreadDuration in IPA (ie definition, calculation rule/formula, IPA input parameters) ?

Jirapongse · Answer

@Chaitra_M

You need to contact the Instrument Pricing Analytics - Delivery Platform support team directly via LSEG Support to obtain a valid request message that returns the required data. Once you have the request message, I can help convert it into code.

Chaitra_M · Answer

Hello @Jirapongse

Client is looking to for spread duration on bonds.

Based on the documentation, it should exist the issue (as understand) is that when running for a list of bonds, most of them does not return value but if for a single bond, value is returned. therefore, we need dev expertise in understanding if the code is correct or there is an issue somewhere.

Jirapongse · Answer

@Chaitra_M

Thank you for reaching out to us.

Please refer to this IPA Financial Contracts: Bond Future Contracts document for the output fields and parameters. I could not see the SpreadDuration in the output fields. For the Duration field's calculation, you refer to the IPA Financial Contracts: Fields Calculation - D page.

Please contact the Instrument Pricing Analytics - Delivery Platform support team directly via LSEG Support for more information.

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