...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 this result
import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import swap
from refinitiv.data.content.ipa.financial_contracts import swaption
rd.open_session()
response = swap.Definition(
instrument_tag="USD 5Y swap",
template="USD_SB3L",
start_date = "2023-01-12",
tenor="5Y",
pricing_parameters=swap.PricingParameters(
valuation_date="2018-01-12"),
fields=['InstrumentDescription', 'LegDescription',
'InstrumentTag', 'LegTag', 'ValuationDate', 'StartDate',
'EndDate', 'Tenor', 'InterestType',
'FixedRatePercent', 'SpreadBp', 'Duration',
'PV01Bp', 'DV01Bp', 'DiscountCurveName',
'ForwardCurveName']
).get_data()
response.data.df
StrikePercent of swaption
response = swaption.Definition(
instrument_tag="USD_3M_5Y_pay",
settlement_type=swaption.SwaptionSettlementType.PHYSICAL,
# notional_amount=10000,
buy_sell=swaption.BuySell.BUY,
swaption_type=swaption.SwaptionType.PAYER,
end_date="2023-01-12",
exercise_style=swaption.ExerciseStyle.EURO,
underlying_definition=swap.Definition(
tenor="5Y",
template="USD_SB3L",
start_date = "2023-01-12",
pricing_parameters=swap.PricingParameters(
valuation_date="2018-01-12"),
),
pricing_parameters=swaption.PricingParameters(
# market_data_date="2018-01-12",
valuation_date="2018-01-12"
),
fields=["InstrumentTag",
"InstrumentDescription",
"ValuationDate",
"StartDate", "EndDate",
"StrikePercent", "UnderlyingTenor",
'PremiumPercent',
"ImpliedVolatilityPercent",
"ImpliedVolatilityBp",
"ForwardPremiumPercent",
"ForwardPremiumBp",
"DiscountCurveName",
"ForwardCurveName",]
).get_data()
response.data.df
