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URGENT - Source int rate swap / futures data via Refinitiv python package
Hi team, Could you please help with this urgent query below. How to source these datasets via Refinitiv python package please? 1. daily data points of this interest rate swap (USDSROIS=); 2. futures start date and end date of CME 3-month SOFR futures contract (RIC for example: SRAF26). Many thanks,
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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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How shall I extract the floating rates used in the model from the python API pricer for swaps?
Hi, I am currently using Python API (online pricer) for interest rate swaps (refinitiv.data.content.ipa.financial_contracts.swap), and I want to extract the floating rates used in the model, do you know how to extract? Thanks.
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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 s...
...ame swap as underlying 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…
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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'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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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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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 =…
