Is there a way to modify "TurnsCcy1Array", "TurnsCcy2Array" to retrieve fx swap point for turn dates

NicolasC

response = cross.Definition(
instrument_tag="Fx-Forward",
fx_cross_type=cross.FxCrossType.FX_FORWARD,
fx_cross_code=ccy_pair,
legs=[
cross.LegDefinition(end_date="2026-10-01")
],
pricing_parameters=cross.PricingParameters(
valuation_date=today.strftime('%Y-%m-%d')),
extended_params={
"marketData": {
"fxSwapPoints": [
{
"curveDefinition": {
"fxCrossCode": ccy_pair
},
"curveParameters":
{
"turnsCalibration": turn,
"UserTurnDates": [user_turn_date]
}
}
]
}
},
fields=[
"TurnsCcy1Array",
"TurnsCcy2Array",
]).get_data()

I want to retrieve EURGBP swap points but I think TurnsCcy1Array and TurnsCcy2Array are by default USD. Is there a way to fix that to get EURGBP as shown below :

Thanks,

Nicolas

Gurpreet

Hello @NicolasC

I do not see a parameter for specifying the currency in the Cross definition - https://cdn.refinitiv.com/public/lseg-lib-python-doc/2.0.0.2/book/en/sections/content-layer/ipa/financial-contracts/fx-cross/definition.html

I would suggest asking the data content experts at LSEG Support. Please mention that Q/A forums redirected you there.