Is there a way to retrieve correct start and end date when retrieving swaps point for EURGBP ?

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NicolasC
NicolasC Newcomer
edited July 8 in Refinitiv Data Platform Libraries

It seems that calendar is based on USD calendar. How do you manage the calendar on FWDS app ?

I need to retrieve via python the swap points (EURGBPFWD=) with the correct calendar as shown on the screenshot.

Thanks a lot,

Nicolas

image.png
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Answers

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @NicolasC

    Thank you for reaching out to us.

    This forum is intended for software developers working with LSEG APIs. For questions related to applications within the LSEG Workspace, please contact the helpdesk support team directly through LSEG Support.

  • NicolasC
    NicolasC Newcomer
    https://community.developers.refinitiv.com/discussion/comment/126734#Comment_126734

    Its a question regarding LSEG API. In fact, when I use the get_data function to retrieve EURGBPFWD, I can select the start and end date of each tenor. But it seems to be based on US calendar. Is there any parameters to add in the function to excluse the US calendar ?

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @NicolasC

    You can use the Data Item Browser tool to view all available parameters for each field.

    I assume this may be related to the Instrument Pricing Analytics (IPA) endpoint.

  • NicolasC
    NicolasC Newcomer

    https://emea1.apps.cp.thomsonreuters.com/web/Apps/DataItemBrowser/ this link seems to not working

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    I am sorry for that.

    Please try https://workspace.refinitiv.com/web/Apps/DataItemBrowser/

  • wasin.w
    wasin.w admin

    Hello @NicolasC

    Please be informed that you can open the Data Item Browser on the Workspace desktop application by typing "DIB" on the search bar.

    DIB.png
  • NicolasC
    NicolasC Newcomer

    Thanks a lot ! But when you look at the screenshot I sent for FWDS EURGBP, We can see the correct calendar. I couldn't find this field on the refinitiv.data API to have the exact same calendar.

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @Nicolas.Brunel

    Can you share the Python code that you are using to retrieve the data?

  • NicolasC
    NicolasC Newcomer

    fwd_data = Chain(name=ticker)
    df_forwards = \
    ld.get_data(fwd_data.constituents, fields=['DAYS_MAT', 'GV4_TEXT', 'BID', 'ASK', 'START_DT', 'MATUR_DATE'])[
    ['DAYS_MAT', 'GV4_TEXT', 'BID', 'ASK', 'START_DT', 'MATUR_DATE']].rename(
    columns={"BID": "Bid", "ASK": "Ask", 'DAYS_MAT': 'Days', 'START_DT': 'Start Date',
    'MATUR_DATE': 'End Date'}).set_index('GV4_TEXT').iloc[0:18]

    It retrieves tenors, number of days, start date, end date and bid/ask. Start and End are based on US calendar but it shouldn't if US is not in the currency pair

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @NicolasC

    Those are real-time fields. The data is from the real-time data feed. There is no parameter to change their values.

    The values are similar to those displayed in the Quote App.

  • NicolasC
    NicolasC Newcomer

    Yes values are same but the values for Start Date and End Date are different on Python and in the App (I checked on 4th of july when USD was closed)

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    I ran the code.

    df = ld.get_data(
    universe = chain.constituents,
    fields  = ['START_DT','MATUR_DATE'])
df

    The dates are similar to the dates on the FWDS app.

    image.png

    I also found that the values in the START_DT and MATUR_DATE fields are updated around 21:00 GMT.

    EURGBP2Y=,Market Price,2025-07-08T21:00:00.171106300Z,+0,Raw,UPDATE,UNSPECIFIED,,,,5241,,3950,,2
    
,,,,FID,1028,,GV1_DATE,2025-07-11,
    ,,,,FID,3791,,START_DT,2025-07-11,
    
EURGBP2Y=,Market Price,2025-07-08T21:00:00.171106300Z,+0,Raw,UPDATE,UNSPECIFIED,,,,5241,,3966,,2
    
,,,,FID,68,,MATUR_DATE,2027-07-12,
    ,,,,FID,1051,,GV2_DATE,2027-07-12,
  • NicolasC
    NicolasC Newcomer

    Hello,

    thanks for your reply. Yes its the same but when we are analysing during USD holidays, dates are different. You will have USD calendar on Python and correct calendar for EURGBP on FWDS. Thats the point I want to correct

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