how to get Value Dates for certain markets

VSIDOR
VSIDOR Newcomer
in Eikon Data APIs

Is there a method using python api to get Value Dates for a certain market ex: FX, IRS, etc.

Similar to exiting web interface https://dxtra.markets.reuters.com/dx/dxnrequest.aspx?RequestName=ReqCi&RequestType=ValueDates


Thanks

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  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    @VSIDOR

    If you only need maturity date for instruments with the trade date of today, then you can get it from market data record using Eikon Data APIs, e.g. for 3 month GBPCHF forward use

    ek.get_data('GBPCHF3M=','MATUR_DATE')

    For 10Y USD semi-annual bond vs. 3 month LIBOR swap use

    ek.get_data('USDSB3L10Y=','MATUR_DATE')

    If you need to calculate the maturity date for an instrument with an arbitrary trade date, you can use Instrument Pricing Analytics service on Refinitiv Data Platform. Or you could use AdfinX Analytics COM library to perform such calculation, although using AdfinX Analytics COM library in Python is a but cumbersome and only possible in 32-bit Python. To see what's involved check out the article titled "Using AdfinX Analytics in Python".

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