IRS pricing using user defined forward curves

stephane.kourganoff · November 2023

Hello,

I have successfully constructed a custom forward curve using my own parameters and instruments through RDP API.

forward_zcCurve_endpoint = rdp.Endpoint(session, 
    "https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves")

user_defined_zc_response = forward_zcCurve_endpoint.send_request(
    method = rdp.Endpoint.RequestMethod.POST,
    body_parameters = user_defined_zc_request_body
)

Given this setup, I'm interested in understanding whether it's possible to use this custom curve for pricing interest rate instruments directly via the RDP API.

Any insights or references to relevant documentation would be greatly appreciated.

Thank you.

[Deleted User] · November 2023

Hi @stephane.kourganoff,

Here, you were using the QA (Quantitative Analytics) API Family [a.k.a.: the IPA (Instrument Pricing Analytics) Product] which is hosted on the RDP (Refinitiv Data Platform); more specifically, you are using the Curves and Sufaces API. If you are interested in Interest Rate related instruments, you can continue using this Curves and Sufaces API, I would suggest the following API Subsets:

However, you may be most interested in IPA's Financial Contracts API insead, specifically the IR Swap Contracts API Subset.

All the above are hosted on the RDP, but they may not be accessible wia the Content Layer of the RD Lib. for Python that you are using. This Layer was created to help FinCoders like yourself with workflows such as yours; when functions are not available on the Content Layer, but the data/service is still available on RDP, we allow users to 'ping' RDP directly with the Delivery Layer. In your case I would suggest reading this (yet-to-be-published) article I wrote, that pings RDP to get FX data and services in a similar way to what you are after (or this one that does similar work).

Don't forget that you can test all this with the API-Playground, for each relevent API Subset of interest.

Do let me know if this is clear; I would love to write a use case using IPA for Interest Rate related workflows, but it would take me a lot of time to write up for you, which may not suit your needs.

Jirapongse · November 2023

@stephane.kourganoff

Thank you for reaching out to us.

Please refer to the IPA Curves Service: Construction of the Forward Zero Coupon Curve.

You can access this endpoint via the API doc.

IRS pricing using user defined forward curves

Best Answer

Answers

Categories

EXPLORE OUR SITES

IRS pricing using user defined forward curves

Best Answer

Answers

Categories