How to extract all LIBOR rates(USD, GBP, CHF, EUR, JPY) with all 7 different maturities(Overnight...

beatgtech

How to extract all LIBOR rates(USD, GBP, CHF, EUR, JPY) with all 7 different maturities(Overnight, 1 week, 1 month, 2 month, 3 month, 6 month, 12 month) by sending request to DSS REST API? Please give an example, urgent.

veerapath.rungruengrayubkul

@beatgtech

The rates and maturities could be identified using RIC name. For example, USD overnight rate, the RIC should be on USDONFSR=. If the extraction takes tool long to complete, it possibly is due to embargo. Please find more information in this tutorial.

Anyway, you can try the /LIBOR=which is delayed RIC. The delayed RIC is not affected by embargo.

Below is the request sample.

{
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
        "ContentFieldNames": [
            "RIC",
            "Last Price",
            "Trade Date"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "IdentifierType": "ChainRIC",
                    "Identifier": "/LIBOR="
                }
            ]
        }
    }
}

veerapath.rungruengrayubkul

Hi @beatgtech,

You can use chain RIC: LIBOR= to extract all LIBOR rates. Below is the sample of request.

{
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
        "ContentFieldNames": [
            "Bid Price",
            "Ask Price"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "IdentifierType": "ChainRIC",
                    "Identifier": "LIBOR="
                }
            ]
        }
    }
}

beatgtech

https://community.developers.refinitiv.com/discussion/comment/64181#Comment_64181

What field names should be used for referencing to rates on 7 different maturities?

beatgtech

https://community.developers.refinitiv.com/discussion/comment/64181#Comment_64181

The request takes a very long time to complete....

beatgtech

https://community.developers.refinitiv.com/discussion/comment/64269#Comment_64269

all fields are null...

These are LIBOR rates I queried from other websites. So what the request template should be if I want to retrieve today or yesterday LIBOR rates (in 7 maturities (from overnight to 12 months) and in 5 different currencies mentioned in the question) ?

veerapath.rungruengrayubkul

https://community.developers.refinitiv.com/discussion/comment/64288#Comment_64288

@beatgtech,

As you can see, the Notes fields indicates that the extraction was embargoed because your account doesn't have permission for ICE LIBOR Real-time. You will get the extracted data after 1439 minutes. Please contact your Refinitiv account manager for the permission issue.

Anyway, you can try the /LIBOR= RIC instead for previous day data.