Hi Team,
Seeking your expertise on a client query for interpolating data on RDP - IPA
Client is using the below query to receive the curve points back with discount factor and rate percent.
Endpoint used https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves
"universe": [
{
"curveDefinition": {
"currency": "USD",
"indexName": "LIBOR",
"mainConstituentAssetClass": "Swap",
"discountingTenor": "3M",
"id": "1ef0692f-1cde-4b71-bad7-e39198633e0e"
},
"curveParameters": {
"valuationDate": "2021-12-29"
},
"forwardCurveDefinitions": [
{
"indexTenor": "3M",
"forwardCurveTag": "HL_forwardCurve",
"forwardStartDate": "2021-12-29",
"forwardCurveTenors": [
"0M",
"1M",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"36M",
"48M",
"60M",
"72M",
"84M",
"96M",
"108M",
"120M",
"132M",
"144M",
"156M",
"168M",
"180M",
"192M",
"204M",
"216M",
"228M",
"240M",
"252M",
"264M",
"276M",
"288M",
"300M",
"312M",
"324M",
"336M",
"348M",
"360M",
"372M",
"384M",
"396M",
"408M",
"420M",
"432M",
"444M",
"456M",
"468M",
"480M"
]
}
]
}
]
}
If possible, could you provide us a sample where it can additionally have the forward dates and the operation interpolate results based on a cubic spline and calculate a rate for each of the forward dates that was sent in: e.g:
12/29/2021
1/31/2022
2/28/2022
3/31/2022
