Is this an RDP equivalent of AdFxSwpToSwp

PuayKai.Poh

Is this endpoint (and data ["FxSwapsCcy1", "FxSwapsCcy2", "FxSwapsCcy1Ccy2", "FxOutrightCcy1Ccy2"]) the same as AdFxSwpToSwp in Excel?

https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts

{

"fields": [

"FxSwapsCcy1",

"FxSwapsCcy2",

"FxSwapsCcy1Ccy2",

"FxOutrightCcy1Ccy2"

],

"universe":[

{

"instrumentDefinition": {

"instrumentTag": "00102700008910C",

"fxCrossType": "FxForward",

"fxCrossCode": "AUDUSD",

"legs": [

{

"startDate":"2021-01-29T00:00:00Z",

"endDate":"2021-02-01T00:00:00Z"

}

]

},

"pricingParameters": {

"valuationDate": "2020-12-31T00:00:00Z",

"priceSide": "Mid"

},

"instrumentType": "FxCross"

}

],

"outputs": [

"Data",

"Headers"

]

}

m.bunkowski

Hi @PuayKai.Poh

Yes, you can get the same results using this endpoint.

You can compare that with the desktop calculator Swap Points and Outrights (SPO) that is using the same methodology as AdFxSwpToSwp (). Please note that you calculate it via mid values.

Endpoint output

SPO (same as Adfin)

PuayKai.Poh

@marcin.bunkowski May we know Refinitiv's formula for calculating "FxOutrightCcy1Ccy2" for quarterend (they seem to be different to monthend)?

m.bunkowski

Hi @PuayKai.Poh I see that you are already in contact with the Analytics support where you will get the answer for your query.