FX cross in Turn Dates in API

Hi team,

Specialist here from Customer Support.

Related to this q&a

Is there a way to retrieve Turn Dates for a specific currency pair directly on Python ? — LSEG Developer Community

there is a specific parameter if you want to calculate CCy1 or CCy2 which is then discussed in this guide:

developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation/manuals-and-guides/ipa-financial-contracts/ipa-financialc-contracts-fx-cross-contracts#output_TurnsArray

So if the pair is EURUSD, we use TurnsCcy1Array. If the pair is USDCZK, we use TurnsCcy2Array

IF the pair we want to use is EURGBP, the FWDS app in Workspace calculates the turn dates by EURUSD and GBPUSD (Separate tables). The question is, can we combine both TurnsCcy1Array and TurnsCcy2Array in a single code?

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Jirapongse

@HannaCP

Thank you for reaching out to us.

Can you share the request message used in the https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts endpoint?

Then, I can convert it to the Python code.

HannaCP

Hi Jirapongse!

Sorry I only have this from Codebook

import refinitiv.data as rdp
from refinitiv.data.content.ipa.financial_contracts import cross
rdp.open_session()

response = cross.Definition(
instrument_tag="Fx-Forward",
fx_cross_type=cross.FxCrossType.FX_FORWARD,
fx_cross_code="USDCZK",
legs=[
cross.LegDefinition(end_date="2026-10-01")
],
pricing_parameters=cross.PricingParameters(
valuation_date="2025-08-18"),
extended_params={
"marketData":{
"fxSwapPoints":[
{
"curveDefinition":{
"fxCrossCode":"USDCZK"
},
"curveParameters":
{
"turnsCalibration":"Month-ends",
"UserTurnDates":["2025-08-01"]
}
}
]
}
},
fields=[
"TurnsCcy2Array",

]).get_data()
response.data.raw

Jirapongse

You need to contact the Instrument Pricing Analytics - Delivery Platform support team directly via LSEG Support to obtain the request message used with the financial-contracts endpoint to retrieve the required data.

HannaCP

Thank you Jirapongse, can you convert this one to API code then? I got a sample from the same endpoint you indicated, thanks!

FWDS EURGBP 19Aug2025 TurnDatesMonthly.txt

Jirapongse

@HannaCP

The request message contains few pricing parameters which are not available in the cross.PricingParameters class.

Therefore, to use the request message with the EndPoint interface in the LSEG Data Library for Python. The code looks like this.

import lseg.data as ld
from lseg.data.delivery import endpoint_request
ld.open_session()

financial_contracts_url = '/data/quantitative-analytics/v1/financial-contracts'

request = {
  "fields": [
    "InstrumentTag",
    "ValuationDate",
    "StartDate",
    "EndDate",
    "Tenor",
    "NonAdjustedStartDate",
    "NonAdjustedEndDate",
    "StartDateAdjustmentFlag",
    "EndDateAdjustmentFlag",
    "SpotDecimals",
    "SpotDecimalsCcy1",
    "SpotDecimalsCcy2",
    "FxSwapPointScalingFactor",
    "FxSpot_BidMidAsk",
    "FxSpotCcy1_BidMidAsk",
    "FxSpotCcy2_BidMidAsk",
    "FxSwapsCcy1_BidMidAsk",
    "FxSwapsCcy2_BidMidAsk",
    "FxSwapsCcy1Ccy2_BidMidAsk",
    "FxOutrightCcy1Ccy2_BidMidAsk",
    "TurnsCcy1Array",
    "TurnsCcy2Array",
    "Ccy1SpotDate",
    "Ccy2SpotDate",
    "ErrorMessage"
  ],
  "outputs": [
    "Data",
    "Statuses",
    "Headers"
  ],
  "universe": [
    {
      "instrumentType": "FxCross",
      "instrumentDefinition": {
        "instrumentTag": "standardperiods",
        "fxCrossCode": "EURGBP",
        "fxCrossType": "FxMultileg",
        "legs": [
          {
            "tenor": "ON"
          },
          {
            "tenor": "TN"
          },
          {
            "tenor": "SN"
          },
          {
            "tenor": "SW"
          },
          {
            "tenor": "2W"
          },
          {
            "tenor": "3W"
          },
          {
            "tenor": "1M"
          },
          {
            "tenor": "2M"
          },
          {
            "tenor": "3M"
          },
          {
            "tenor": "4M"
          },
          {
            "tenor": "5M"
          },
          {
            "tenor": "6M"
          },
          {
            "tenor": "7M"
          },
          {
            "tenor": "8M"
          },
          {
            "tenor": "9M"
          },
          {
            "tenor": "10M"
          },
          {
            "tenor": "11M"
          },
          {
            "tenor": "1Y"
          },
          {
            "tenor": "15M"
          },
          {
            "tenor": "18M"
          },
          {
            "tenor": "21M"
          },
          {
            "tenor": "2Y"
          }
        ]
      },
      "pricingParameters": {
        "valuationDate": "2025-08-19"
      }
    },
    {
      "instrumentType": "FxCross",
      "instrumentDefinition": {
        "fxCrossCode": "EURGBP",
        "fxCrossType": "FxForward",
        "legs": [
          {
            "startTenor": "0D",
            "tenor": "1M15D"
          }
        ],
        "instrumentTag": "brokendates-0-fxSwap"
      },
      "pricingParameters": {
        "valuationDate": "2025-08-19",
        "adjustAllSwapPointsToCrossCalendars": False
      }
    },
    {
      "instrumentType": "FxCross",
      "instrumentDefinition": {
        "fxCrossCode": "EURGBP",
        "fxCrossType": "FxForward",
        "legs": [
          {
            "startTenor": "0D",
            "tenor": "90D"
          }
        ],
        "instrumentTag": "brokendates-1-fxSwap"
      },
      "pricingParameters": {
        "valuationDate": "2025-08-19",
        "adjustAllSwapPointsToCrossCalendars": False
      }
    },
    {
      "instrumentType": "FxCross",
      "instrumentDefinition": {
        "fxCrossCode": "EURGBP",
        "fxCrossType": "FxForward",
        "legs": [
          {
            "startTenor": "0D",
            "tenor": "3M"
          }
        ],
        "instrumentTag": "brokendates-2-fxSwap"
      },
      "pricingParameters": {
        "valuationDate": "2025-08-19",
        "adjustAllSwapPointsToCrossCalendars": False
      }
    },
    {
      "instrumentType": "FxCross",
      "instrumentDefinition": {
        "fxCrossCode": "EURGBP",
        "fxCrossType": "FxForward",
        "legs": [
          {
            "startTenor": "0D",
            "tenor": "7M"
          }
        ],
        "instrumentTag": "brokendates-3-fxSwap"
      },
      "pricingParameters": {
        "valuationDate": "2025-08-19",
        "adjustAllSwapPointsToCrossCalendars": False
      }
    },
    {
      "instrumentType": "FxCross",
      "instrumentDefinition": {
        "fxCrossCode": "EURGBP",
        "fxCrossType": "FxForward",
        "legs": [
          {
            "startTenor": "3M",
            "tenor": "6M"
          }
        ],
        "instrumentTag": "brokendates-4-fxSwap"
      },
      "pricingParameters": {
        "valuationDate": "2025-08-19",
        "adjustAllSwapPointsToCrossCalendars": False,
        "preSpotEndTenorReferenceDate": "StartDate",
        "endTenorReferenceDate": "SpotDate"
      }
    }
  ],
  "marketData": {
    "fxSpots": [
      {
        "spotDefinition": {
          "fxCrossCode": "EURUSD",
          "source": "Composite"
        }
      },
      {
        "spotDefinition": {
          "fxCrossCode": "GBPUSD",
          "source": "Composite"
        }
      },
      {
        "spotDefinition": {
          "fxCrossCode": "EURGBP",
          "source": "Calculated"
        }
      }
    ],
    "fxSwapPoints": [
      {
        "curveDefinition": {
          "fxCrossCode": "EURUSD",
          "source": "Composite"
        },
        "curveParameters": {
          "twoLayersTurnsCalculation": True,
          "excludeLongPeriods": True,
          "turnsCalibration": "Month-ends"
        }
      },
      {
        "curveDefinition": {
          "fxCrossCode": "GBPUSD",
          "source": "Composite"
        },
        "curveParameters": {
          "twoLayersTurnsCalculation": True,
          "excludeLongPeriods": True,
          "turnsCalibration": "Month-ends"
        }
      },
      {
        "curveDefinition": {
          "fxCrossCode": "EURGBP"
        },
        "curveParameters": {
          "excludeLongPeriods": True,
          "interpolationMode": "Linear"
        }
      }
    ]
  }
}

request_definition = endpoint_request.Definition(
    method = ld.delivery.endpoint_request.RequestMethod.POST,
    url = financial_contracts_url,
    body_parameters = request
)
response = request_definition.get_data()
response.data.raw

NicolasC

Hello,

I am working on this script. I am not having the good output.

Should I get EURGBP swap points for month ends ?

Jirapongse

@NicolasC

Please contact the owner of the submitted case to verify the output and request message.

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