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Yield curve, RFR, Forward Currency rates extraction
Hi! I was searching the information on how to extract the OIS Curves: SWESTR (SEK OIS), NOWA (NOK OIS) Cross-currency forward rates, e.g. EURSEK, GBPDKK, DKKNOK How to find the names/tickers/RICs of the cross-currency forward curves. Is it better to extract via Access/Content layer or via RDP? The Overnight Risk free…
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IPA Analytics API to calculate analytics
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. <CH151267688=>). However, when we run IPA on <CH151267688=> individually, a Spread Duration…
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ETI Volatility Surface returns empty surface for one underlying (APLD.O) while identical request wor
Product/API: RDP — IPA Volatility Surfaces (ETI) · Endpoint: POST .../quantitative-analytics-curves-and-surfaces/v1/surfaces · Access: refinitiv-data Python 1.6.2, Desktop session The same request body returns a valid surface for AAPL.O but an empty surface (no error) for APLD.O, even though APLD does have a surface in…
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How to efficiently pull historical options analytics (PCR, Risk Reversals) natively for equity RICs?
Hi everyone, I am currently finalizing the architecture for a 10-year quantitative equity options backtest using the Refinitiv Data API (refinitiv.data in Python). To complete our data pipeline, we need to extract a specific set of point-in-time historical options analytics for a custom universe of US equities.…
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lseg.data Python — Best practice for fetching London 00:00 baseline for OTC FX RICs
I'm building an FX Cross-Currency Basis (CIP) dashboard in CodeBook using the lseg.data Python library. The dashboard needs to anchor a "Net Change since London 00:00" calculation across ~50 OTC RICs. What's working I've found that lseg.data.content.historical_pricing.summaries.Definition() works beautifully for OTC FX…
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Interest rate swap (currently in SWPR) in the CODEBK application
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…
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Getting option prices used to create CEVOLSURFACE
Hi, I sent this email to the support desk and they sent me here to ask the question. I am pulling volatility surface data from lseg.data api by doing so : def_get_vol_surface( ul_ric: str,): vol_surface=surfaces.eti.Definition( surface_tag="Vol", underlying_definition=surfaces.eti.EtiSurfaceDefinition(…
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How to Find available Fields Used in the `lseg.data.content.ipa.financial_contracts` API
Hi, I have a quick question. The following is copied from the API code example: import lseg.data as ld from lseg.data.content.ipa.financial_contracts import cds response = cds.Definition( instrument_tag="Cds1_InstrumentCode", instrument_code="BNPP5YEUAM=R",…
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IPA bond pricing help
I am looking at some Treasury Lock (T-Lock) instruments and trying to use the bond pricing IPA. My valuation date is 9/30/25 and trying to get the forward rate for the then on the run 10Y US treasury on July 1, 2026. I was trying to use the trade_date and valuation_date parameters to achieve this setup, with using…
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May I know how to use Swaption template from refinitiv.data.content.ipa.financial_contracts?
Hi, I am trying to use the pricing template for swaption from the codebook. However, I am not sure how to enter the field and the final fair value can not match with my sample. I have attached the screenshot of the sample information and testing result to the question as well as pasting my code below. Would you mind advise…
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How to use the below in Codebook?
Client wants to retrieve the EUR OIS Swap Zero Curve historically using Codebook. We have this in API Playground. how to use this in codebook? API Playground I also found this in Github but I cant get it to work:…
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API Playground Error
Hi, I noticed in this example on the API playground the interpolationMode is specified as ForwardMontoneConvex. Yet when examining MarketData the interpolationMode is CubicSpline: Is this a bug?
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Get Discount Curve From Swap Pricing (Refinitiv API)
I have priced the following swap and see the DiscountCurveName. I would now like to see the constituents of the curve. I tried searching for it but could not find any results: Could I please have some help finding this curve? Thank you.
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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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Trying to build ZC Curve
Hi, I am trying to build my own ZC curve with custom constituents but i am receiving an error about 'AvailableTenors field is blank or empty'. But there is no 'AvailableTenors' field in the API playground sample code: Is there any better documentation/examples for this? The following article here:…
