SOFR SWAP Curve

vlad.dimanshteyn
vlad.dimanshteyn Explorer
in Eikon Data APIs

I would like to retrieve SOFR SWAP Curve. What's the mnemonic for it and how do I retreive it? TY

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  • [Deleted User]
    [Deleted User] Newcomer
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    Hi @vlad.dimanshteyn,


    Please note that this forum is for technical questions related to LSEG technology (more specifically, LSEG APIs). For content questions such as yours, we suggest using myrefinitiv.

    With that said, I had a quick look for you. I see that you taged your question with "eikon-data-api" (EDAPI), but I would suggest using its successor, RD Lib. If you have access to EDAPI, you will have access to RD Lib.
    Looking on Workspace, I foudn the following RICs that may be of interest to you: "USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y=".
    Personally, I would suggerst looking for the SOFR SWAP for a specific horizon (e.g.: SOFR SWAP 10 year). This is how I found the above.
    Assuming you are coding in Python, you can find data in ways similar to this:


    # !pip install refinitiv-data
    import refinitiv.data as rd
    rd.get_history(
        universe=["USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y="],
        fields=["TR.CLOSEPRICE", "CF_CLOSE", "CLOSE", "BID", "CF_BID", "CF_ASK", "CF_LAST", "PRIMACT_1"], # , "TR.ACCUMULATEDVOLUME"
        start="2023-01-01",
        end="2023-07-01",
        # interval='daily'
        )



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