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?

Find more posts tagged with

swaps

rdp-api

yield-curve

#content

#product

Accepted answers

jonathan.legrand

Hi @vlad.dimanshteyn,

Please note that this forum is for technical questions related to LSEG technology (more specifically, LSEG APIs). For content questions such as yours, we suggest using myrefinitiv.

With that said, I had a quick look for you. I see that you taged your question with "eikon-data-api" (EDAPI), but I would suggest using its successor, RD Lib. If you have access to EDAPI, you will have access to RD Lib.
Looking on Workspace, I foudn the following RICs that may be of interest to you: "USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y=".
Personally, I would suggerst looking for the SOFR SWAP for a specific horizon (e.g.: SOFR SWAP 10 year). This is how I found the above.
Assuming you are coding in Python, you can find data in ways similar to this:

# !pip install refinitiv-dataimport refinitiv.data as rd

rd.get_history(    universe=["USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y="],    fields=["TR.CLOSEPRICE", "CF_CLOSE", "CLOSE", "BID", "CF_BID", "CF_ASK", "CF_LAST", "PRIMACT_1"], # , "TR.ACCUMULATEDVOLUME"    start="2023-01-01",    end="2023-07-01",    # interval='daily'    )

All comments

Jirapongse

@vlad.dimanshteyn

Thank you for reaching out to us.

Please refer to the Refinitiv Data Platform APIs on the developer portal for the services or endpoints available on Refinitiv Data Platform.

Otherwise, you can contact your Refinitiv account team or sales team for more information.

vlad.dimanshteyn

I need to retrieve SOFR Swap curve, what is mnemonic for it?? Asking you because I could not find it. Is not that the reason you are here?

jonathan.legrand

Hi @vlad.dimanshteyn,

Please note that this forum is for technical questions related to LSEG technology (more specifically, LSEG APIs). For content questions such as yours, we suggest using myrefinitiv.

# !pip install refinitiv-dataimport refinitiv.data as rd

rd.get_history(    universe=["USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y="],    fields=["TR.CLOSEPRICE", "CF_CLOSE", "CLOSE", "BID", "CF_BID", "CF_ASK", "CF_LAST", "PRIMACT_1"], # , "TR.ACCUMULATEDVOLUME"    start="2023-01-01",    end="2023-07-01",    # interval='daily'    )

vlad.dimanshteyn

Thanks Jonathan for your help. I do not know the difference between LSEG, RD.etc, was just asking the question. I'm not sure if I have RDAPI, there just too many acronyms here. I will try your code and see. Where do I find description for different fields available and functions in RD library? I would like to get the swap curve realtime data, history is good as well. Thanks for your help again. For the functions that you wrote above, where is that forum? The person before you is not very nice, we pay a lot of money to Refinitiv and expect decent communication. TY

vlad.dimanshteyn

Please point me to the place where you took a quick look. TY

vlad.dimanshteyn

One more quick question Jonathan. By RD Lib you mean Refinitiv Data Platform API using request/response structures? TY

EXPLORE OUR SITES