How can I pull the 3m EUR swap zero curve (0#EURABQEZ=R) to Python?

steffen.fuchs

Hi,

I'm trying to pull above zero curve to python via the eikon api. I also need the curve at past dates.

Can you please assist?

Thanks,

Steffen

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Accepted answers

Alex Putkov.1

@steffen.fuchs
The Helpdesk checked the data entitlements on your Eikon account. Given the variant of Eikon you subscribe to you're not entitled to view the real-time curve. You are however entitled to view delayed data for individual tenors. So, instead of requesting the chain RIC for the curve, you need to construct the list of individual tenor delayed RICs and request the data for the list:

curve = ['/EURABQEONZ=R','/EURABQETNZ=R','/EURABQE1WZ=R',...]
ek.get_data(curve,['DSPLY_NAME','MATUR_DATE',
                            'PRIMACT_1','SEC_ACT_1'])

Alternatively you could upgrade your Eikon subscription to a higher tier Eikon variant that includes access to real-time zero curves.

All comments

Alex Putkov.1

For current curve use

zc_df, err = ek.get_data('0#EURABQEZ=R',['DSPLY_NAME','MATUR_DATE',
                            'PRIMACT_1','SEC_ACT_1'])

To reconstruct historical curve you'd need to retrieve zero rate on a given date for each instrument in the chain.

ek.get_timeseries(zc_df.loc[3:,'Instrument'].tolist(),
                  'CLOSE',start_date='2019-06-20',end_date='2019-06-20')

You can only retrieve zero rate using this method, not a discount factor. And you'd need to calculate maturity dates based on the tenor.

steffen.fuchs

Thanks, Alex. I getbelow error message. Is this a rights issue?

Also, is there any kind of more extensive documentation where I could find how to build such requests?

[{'code': 251658243,
  'col': 1,
  'message': "'Access Denied' for the instrument '0#EURABQEZ=R'",
  'row': 0},
 {'code': 251658243,
  'col': 2,
  'message': "'Access Denied' for the instrument '0#EURABQEZ=R'",
  'row': 0},
 {'code': 251658243,
  'col': 3,
  'message': "'Access Denied' for the instrument '0#EURABQEZ=R'",
  'row': 0},
 {'code': 251658243,
  'col': 4,
  'message': "'Access Denied' for the instrument '0#EURABQEZ=R'",
  'row': 0}]

Alex Putkov.1

The error message indicates you're not entitled to view this chain. Are you able to display it in a Quote app in Eikon? Can you retrieve any of the constituents of this chain, e.g. do you get the same error message if you call

ek.get_data('EURABQE1YZ=R',['DSPLY_NAME','MATUR_DATE',
                            'PRIMACT_1','SEC_ACT_1'])

steffen.fuchs

I can see the curve constituents, yields and discount factors in the quote app but the curve does not plot. Instead of a chart a boch opens which says:

"0#EURABQEZ=R: The user does not have permission for the requested data"

For the constituents I do not get any error message. I can pull the data.

Alex Putkov.1

This is not the expected behavior. I opened case 07778952 on your behalf with Refinitiv Helpdesk. The Helpdesk will get in touch with you to troubleshoot the issue.

steffen.fuchs

Thanks, Alex.

Is there any more extensive documentation for creating requests?

BR,

Steffen

Alex Putkov.1

All documentation available is here on the Developer Portal. There's API Reference Guide under the Documentation tab. And there's a bunch of tutorials illustrating some specific use cases.

Alex Putkov.1

curve = ['/EURABQEONZ=R','/EURABQETNZ=R','/EURABQE1WZ=R',...]
ek.get_data(curve,['DSPLY_NAME','MATUR_DATE',
                            'PRIMACT_1','SEC_ACT_1'])

Alternatively you could upgrade your Eikon subscription to a higher tier Eikon variant that includes access to real-time zero curves.

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