How to get outrights at broken dates on Swap Points App (SPO)

ty

In Swap Points App (SPO), I can get like EURUSD values in a curve and I can specify the broken dates to get points in the middle of that curve vertices. How can I do that in the API?

Alex Putkov.1

@ty

You can use Refinitiv Data Platform Library for this purpose. The library is not yet officially supported, but you can install a pre-release version from PyPI. You can find examples of using this library to price financial contracts in Codebook File Browser under Examples / 02 - Refinitiv Data Platform Library / 2.7.x - Content - Financial Contracts - ...

And you can find the documentation for contract definitions and output fields on Refinitiv Data Platform APIs page on this portal under Documentation - Manuals & Guides - IPA Financial Contracts - IPA Financial Contracts: FX Cross Contracts.

Here's a quick example returning mid swap points and outright for EURGBP forward ending 3 months and 10 days from spot.

import refinitiv.dataplatform as rdp 
rdp.open_desktop_session(your_app_key)
from refinitiv.dataplatform.content.ipa.contracts import cross
from refinitiv.dataplatform.content.ipa import FinancialContracts as fc
fwd_contract = cross.Definition(fx_cross_code='EURGBP', 
                                fx_cross_type='FxForward',
                                legs = [cross.LegDefinition(tenor='3M10D')])
response = fc.get_cross_analytics(fwd_contract, 
                                  fields = ['StartDate',
                                            'EndDate',
                                            'FxSwapsCcy1Ccy2', 
                                            'FxOutrightCcy1Ccy2'])
display(response.data.df)