Setting start date for fxforward and is it possible to get the data of multiple tenors and fx for...

Sheep
Sheep Newcomer
in Refinitiv Data Platform Libraries

...ward at once

fwd_contract = cross.Definition(fx_cross_code='GBPCNY',

fx_cross_type='FxForward',

legs = [cross.LegDefinition(start_date='2024-06-30T00:00:00Z', tenor='3M')])

response = fc.get_cross_analytics(fwd_contract,

fields = ['StartDate',

'EndDate',

'FxSwapsCcy1Ccy2',

'FxOutrightCcy1Ccy2'])

print(response.data.df)


I read the documentation and isn't start_date suppose to be in legdefinition, but when i run the code it turns into error

TypeError: LegDefinition.__init__() got an unexpected keyword argument 'start_date'


also can I only search 1 result in a time? I want to achieve a similar effect of exporting all the tenors available of an exchange when I search it on SPO. Many Thanks!!

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Answers

  • m.bunkowski
    m.bunkowski LSEG

    Hi @Sheep

    Have a look at the sample below. It may help you to understand how to use start_date parameter and also how to price more than one tenor at the time.

    import refinitiv.data as rd
    from refinitiv.data.content.ipa.financial_contracts import cross
    rd.open_session()

    cross.Definition(
        instrument_tag="Fx-Forward",
        fx_cross_type=cross.FxCrossType.FX_FORWARD,
        fx_cross_code="GBPCNY",
        legs=[
            cross.LegDefinition(tenor="SW"),
            cross.LegDefinition(tenor="1M"),
            cross.LegDefinition(tenor="2M"),
            cross.LegDefinition(tenor="10M"),
            cross.LegDefinition(tenor="2Y"),
            cross.LegDefinition(start_date="2024-08-01",end_date="2024-08-20"),
            ],
        pricing_parameters=cross.PricingParameters(
            valuation_date="2024-07-18"),
        extended_params={"instrumentDefinition": 
                         {"fxCrossType": "FxMultileg"}},
        fields=[
            "StartDate",
            "EndDate",
            "Tenor",
            "FxSwapsCcy1Ccy2",
            "FxOutrightCcy1Ccy2"
      ]).get_data().data.df
  • Sheep
    Sheep Newcomer

    @Jirapongse

    Thanks for the response. I am quite new so I am still confused on what to do. I was using rdp

    import refinitiv.dataplatform as rdp

    import datetime

    from refinitiv.dataplatform.content.ipa.contracts import cross

    from refinitiv.dataplatform.content.ipa import FinancialContracts as fc


    rdp.open_desktop_session('appkey')

    fwd_contract = cross.Definition(fx_cross_code='GBPCNY',

    fx_cross_type='FxForward',

    legs = [cross.LegDefinition(start_date='2024-06-30T00:00:00Z', tenor='3M')],

    pricing_parameters=cross.PricingParameters(price_side=cross.PriceSide.ASK))

    #valuation_date="2024-07-17T00:00:00Z",

    response = fc.get_cross_analytics(fwd_contract,

    fields = ['StartDate',

    'EndDate',

    'FxSwapsCcy1Ccy2',

    'FxOutrightCcy1Ccy2'])

    print(response.data.df)

  • Sheep
    Sheep Newcomer

    nvm sorry I didn't see the other message, it was great help

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