how to request a curve using CurveDefinition rather than CurveID.

oscar.malapitjr

How can you request a curve using CurveDefinition rather than CurveID? Unless I specify the actual curve name, it does not work - I get an error:
The service failed to identify a unique curve definition: [EUR EURIBOR Swap ZC Curve, EUR - Depo, IRS vs 6M]

The request I am using is:

{

"universe": [

{

"curveParameters": {

"valuationDate":"2020-06-30",

"interpolationMode": "CubicSpline",

"priceSide": "Mid",

"interestCalculationMethod": "Dcb_Actual_Actual",

"extrapolationMode": "Linear"

},

"curveDefinition": {

"currency": "EUR",

"indexName":"EURIBOR",

#"name":"EUR EURIBOR Swap ZC Curve",

"discountingTenor": "OIS",

"indexTenors":["6M"]

}

}],

"outputs":["Constituents"]

}

I have to include "name":"EUR EURIBOR Swap ZC Curve" - in order for it return the curve data.

I thought that because only 'EUR EURIBOR Swap ZC Curve' has OIS and 6M for available and discount tenors, the API would be able to distinguish between it and the Depo one.

How can I change the above request so that I don't specify the curve name and still get back the EUR EURIBOR Swap ZC Curve?

Also, for the following, how would I select USD LIBOR Swap ZC Curve without using the 'name' property? What CurveDefinition values would I have to use?

{

"universe": [

{

"curveDefinition": {

"currency":"JPY",

"indexName":"LIBOR",

"discountingTenor": "6M",

"referenceCurveDefinition": {

"currency":"USD",

"indexName":"LIBOR",

#"name": "USD LIBOR Swap ZC Curve",

"mainConstituentAssetClass":"Swap",

"discountingTenor": "6M",

}

}

}]

}

Michel B

Hi @oscar.malapitjr

If you query the '/data/quantitative-analytics-curves-and-surfaces/v1/curves/zc-curve-definitions' end point with the following payload:

{
  "universe": [
    {
      "currency": "EUR"
    },
    {
      "currency": "USD"
    }
  ]
}

You will see that at the moment we have several curve definitions for EUR and USD with 'EURIBOR' and 'LIBOR' as 'indexName' respectively.

That's why it's not possible to filter a single curve definition based on properties such as 'currency' and 'indexName'.

The only solution we can suggest for now is to query 'zc-curve-definitions' endpoint, iterate through the available curves, and query 'zc-curves' with a specific 'name' or 'id'.

We will get back to you as soon as we can suggest you an alternate approach.

Best Regards

Michel