Interest Rate Swap Calculator via API vs Workspace

bartolacci

I am trying to replicate the function SWPR I can use directly on Workspace using the lseg-data python library. Unfortunately I have not been able to match the results and I ask you help in this sense.

At this time I am interested to the metrics resulting in the "RISK" tab highlighted, specifically DV01 and Modified Duration.

The parameters I used on SWPR are shown in the picture I have attached to this message.

Below the code snipped I am using to try and replicate, what am I missing?

Regards

SWPR_snap.png

import pandas as pd

import lseg.data as rdp

import lseg.data.content.ipa.financial_contracts as rdf
session = rdp.open_session(app_key='XXX')

session.open()
swap_definition = {

"instrumentType":"Swap",

"instrumentDefinition": {

"instrumentTag":"TestIRS",

"startDate":'2025-09-03',

"tradeDate":'2025-09-03',

"tenor":"5Y",

"legs":[

{

"legTag": "Fixed",

"interestType": "Fixed",

"notionalCcy": 'BRL',

"notionalAmount": 10000000,

"interestCalculationMethod": rdf.swap.DayCountBasis.DCB_WORKING_DAYS_252,

"interestcalculationconvention": rdf.swap.InterestCalculationConvention.MONEY_MARKET,

"direction":"Received",

"interestPaymentFrequency": rdf.swap.Frequency.ANNUAL,

},

{

"legTag": "Float",

"direction":"Paid",

"interestType":"Float",

"notionalCcy": 'BRL',

"notionalAmount": 10000000,

"interestPaymentFrequency": rdf.swap.Frequency.ANNUAL,

"indexTenor": "1D",

"interestCalculationMethod": rdf.swap.DayCountBasis.DCB_WORKING_DAYS_252,

"interestcalculationconvention": rdf.swap.InterestCalculationConvention.MONEY_MARKET,

"indexResetFrequency": rdf.swap.Frequency.EVERYDAY,

"indexName": 'CDI',

"indexResetType": rdf.swap.IndexResetType.IN_ADVANCE,

}]

},
  "pricingParameters": {

      "valuationDate": '2025-09-03',

  },

}
request_body = {
"fields" : ["InstrumentTag","LegTag",

            "Direction",

            "MarketValueInDealCcy",

            "AccruedPercent", 

            "AccruedAmountInDealCcy", 

            'ModifiedDuration',

            "ErrorCode","ErrorMessage"],


"universe" : [

    swap_definition

    ],


"outputs" : ["Data","Headers"],

}
request_definition = rdp.delivery.endpoint_request.Definition(

url = "/data/quantitative-analytics/v1/financial-contracts",

method = rdp.delivery.endpoint_request.RequestMethod.POST,

body_parameters = request_body)

response = request_definition.get_data()
if response.is_success:

headers = [h['name'] for h in response.data.raw['headers']]

df = pd.DataFrame(data=response.data.raw['data'], columns=headers)
print(df)

Jirapongse

@bartolacci

Thank you for reaching out to us.

To verify the ipa.financial_contracts request message, please contact the Instrument Pricing Analytics - Delivery Platform support team directly via LSEG Support.

Otherwise, please refer to the IPA Financial Contracts documents.