Unable to get Forward Curve for NOK (NIBOR) in RDP IPA
We are looking to generate the forward curve for different currencies. While we are able to generate the curve for the following currency and index name combination:
currency indexName
USD LIBOR
EUR EURIBOR
GBP LIBOR
SEK STIBOR
ZAR JIBOR
CHF LIBOR
DKK CIBOR
it does not seem to work for NOK (NIBOR)
Sample call:
POST URL: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves
BODY:
{
"universe": [
{
"curveDefinition": {
"currency": "NOK",
"indexName": "NIBOR",
"discountingTenor": "OIS"
},
"forwardCurveDefinitions": [
{
"indexTenor": "3M",
"forwardCurveTag": "ForwardTag",
"forwardStartDate": "2021-02-01",
"forwardCurveTenors": [
"0D",
"1D",
"2D",
"3M",
"6M",
"9M",
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"15Y",
"20Y",
"25Y"
]
}
]
}
]
}
It always returns:
{
"data": [
{
"error": {
"id": "0869c25e-c9f3-4764-8dec-c90bec681cc7/0869c25e-c9f3-4764-8dec-c90bec681cc7",
"code": "QPS-Curves.10",
"message": "The service failed to find the curve constituents"
}
}
]
}
Best Answer
-
I believe the indexName for NOK should be "OIBOR".
0
Answers
-
Thank you @Alex Putkov.1 This definitely answers my query. I was able to get a response after changing the indexName to OIBOR.
0
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