Hi, I am trying to fill Credit curves constituents with this :
"constituents": { "creditInstruments": { "EUR": { "financialFilters": { "bond": { "zScore": { "field": "ZSpreadBp", "priceSide": "Mid", "maturityBuckets": [ { "tolerance": 3 }, { "tolerance": 3 }, { "tolerance": 3 }, { "tolerance": 3 } ] } } } } } }
Could you please help me to fill constituents?
from lseg_analytics_basic_client.models import ( CreditCurveParameters, CalibrationParameters, CreditCurveRequestItem, CreditCurveDefinition, CreditConstituents, CreditInstruments )
curve_parameters = CreditCurveParameters( valuation_date = dt.date(2025, 1, 20), calibration_model = "BasisSpline", calibration_parameters = CalibrationParameters( is_monotonic = True, extrapolation_points_number = 4, extrapolation_type = "ExtrapolationRightFlat" ), use_duration_weighted_minimization = True, use_multi_dimensional_solver = True, calendar_adjustment = "Calendar", use_delayed_data_if_denied = False)
curve_definition = CreditCurveDefinition( name = "Belgium GOV Par Benchmark Curve", # must be in this format issuer_type = "Sovereign", country = "BE", source = "Refinitiv", currency = "EUR", curve_sub_type="GovernmentBenchmark", is_currency_country_originator=True)
credit_instruments = CreditInstruments( # ???)
constituents = CreditConstituents( credit_instruments = credit_instruments # ???)
credit_curve_request = CreditCurveRequestItem( curve_parameters = curve_parameters, curve_definition = curve_definition, constituents = None)
print(f"Request: {json.dumps(credit_curve_request.as_dict(), indent=4)}")
from lseg_analytics.market_data import credit_curves as cc
response = cc.calculate(universe=[credit_curve_request])
print(f"Response: {json.dumps(response.as_dict(), indent=4)}")
