how to get constituents zero rate data of zero curve 0#USDZ=R?

Hi, I am really new to eikon python API and I would greatly appreciate any help or quick pointer on how to obtain constituents yield/zero rate of a zero curve with RIC 0#USDZ=R? I tried to use get_data with RIC='0#USDZ=R' but it seems it won't have magic to get all constituents (e.g., ON to 50Y). Thanks for any tips or reference point in advance.

Best Regards,

Tse

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Accepted answers

jonathan.legrand

Hi @louis.tse ,

There are several ways to find these constituents. The 1st one that comes to mind is looking for the RICs you're after in the quote app (0#USDZ=R Q):

I believe that if you were to look for fields 'LONGLINK1' , 'LONGLINK2', ... for RIC 0#USDZ=R, you will find the list you're after:

I tried it in CodeBook using RD:

rd.get_data(

universe=['0#USDZ=R'],

fields=['LONGLINK1', 'LONGLINK2'])

All comments

Hi @louis.tse

I suggest to switch to refinitiv-data Python lib which is the most up-to-date library to connect and retrieve data from our platform. It has a chain API to retrieve all constituents:

import refinitiv.data as rd

session = rd.session.desktop.Definition(app_key=APP_KEY).get_session
rd.session.set_default(session)
session.open()

stream = rd.content.pricing.chain.Definition(name='0#USDZ=R').get_stream()
stream.open(False)
print(stream.constituents)
stream.close()
session.close()

output:

['USDZ=', 'ZERO/1', 'USDZ=', 'USDONZ=R', 'USDTNZ=R', 'USDSNZ=R', 'USD1WZ=R', 'USD2WZ=R', 'USD1MZ=R', 'USD2MZ=R', 'USD3MZ=R', 'USD6MZ=R', 'USD9MZ=R', 'USD1YZ=R', 'USD1Y3MZ=R', 'USD1Y6MZ=R', 'USD1Y9MZ=R', 'USD2YZ=R', 'USD2Y3MZ=R', 'USD2Y6MZ=R', 'USD2Y9MZ=R', 'USD3YZ=R', 'USD3Y3MZ=R', 'USD3Y6MZ=R', 'USD3Y9MZ=R', 'USD4YZ=R', 'USD4Y3MZ=R', 'USD4Y6MZ=R', 'USD4Y9MZ=R', 'USD5YZ=R', 'USD5Y3MZ=R', 'USD5Y6MZ=R', 'USD5Y9MZ=R', 'USD6YZ=R', 'USD6Y3MZ=R', 'USD6Y6MZ=R', 'USD6Y9MZ=R', 'USD7YZ=R', 'USD7Y3MZ=R', 'USD7Y6MZ=R', 'USD7Y9MZ=R', 'USD8YZ=R', 'USD8Y3MZ=R', 'USD8Y6MZ=R', 'USD8Y9MZ=R', 'USD9YZ=R', 'USD9Y3MZ=R', 'USD9Y6MZ=R', 'USD9Y9MZ=R', 'USD10YZ=R', 'USD11YZ=R', 'USD12YZ=R', 'USD13YZ=R', 'USD14YZ=R', 'USD15YZ=R', 'USD20YZ=R', 'USD25YZ=R', 'USD30YZ=R', 'USD40YZ=R', 'USD50YZ=R']