Script for interpolating data on RDP - Instrument Pricing Analytics
Hi Team,
Seeking your expertise on a client query for interpolating data on RDP - IPA
Client is using the below query to receive the curve points back with discount factor and rate percent.
Endpoint used https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves
"universe": [
{
"curveDefinition": {
"currency": "USD",
"indexName": "LIBOR",
"mainConstituentAssetClass": "Swap",
"discountingTenor": "3M",
"id": "1ef0692f-1cde-4b71-bad7-e39198633e0e"
},
"curveParameters": {
"valuationDate": "2021-12-29"
},
"forwardCurveDefinitions": [
{
"indexTenor": "3M",
"forwardCurveTag": "HL_forwardCurve",
"forwardStartDate": "2021-12-29",
"forwardCurveTenors": [
"0M",
"1M",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"36M",
"48M",
"60M",
"72M",
"84M",
"96M",
"108M",
"120M",
"132M",
"144M",
"156M",
"168M",
"180M",
"192M",
"204M",
"216M",
"228M",
"240M",
"252M",
"264M",
"276M",
"288M",
"300M",
"312M",
"324M",
"336M",
"348M",
"360M",
"372M",
"384M",
"396M",
"408M",
"420M",
"432M",
"444M",
"456M",
"468M",
"480M"
]
}
]
}
]
}
If possible, could you provide us a sample where it can additionally have the forward dates and the operation interpolate results based on a cubic spline and calculate a rate for each of the forward dates that was sent in: e.g:
12/29/2021
1/31/2022
2/28/2022
3/31/2022
Best Answer
-
You can dates in ISO 8601 format YYYY-MM-DD in "forwardCurveTenors"
...
"forwardStartDate": "2021-12-29",
"forwardCurveTenors": [
"2021-12-29",
"2022-01-31",
"2022-02-28",
"2022-03-31",
"0M",
"1M",
...0
Answers
-
Hi @m.bunkowski
Thanks for the previously given suggestion. We do have follow-up question
We have taken your suggestion and made the call with dates inside the forwardCurveTenors
"curveParameters": {
"valuationDate": "2021-12-29"
},
"forwardCurveDefinitions": [
{
"indexTenor": "3M",
"forwardCurveTag": "HL_forwardCurve",
"forwardStartDate": "2021-12-29",
"forwardCurveTenors": [
"2021-12-29",
"2022-01-31",
"2022-02-28",
"2022-03-31",
And received the following output back, however, the ratePercent and discountFactor output fields do not have the expected values. Are there any other output fields that can return the forward rates?
"forwardCurves": [
{
"curvePoints": [
{
"endDate": "2021-12-29",
"startDate": "2021-12-29",
"discountFactor": 1,
"ratePercent": 0.25314444482626985,
"tenor": "2021-12-29"
},
{
"endDate": "2022-01-31",
"startDate": "2021-12-29",
"discountFactor": 0.999771445000988,
"ratePercent": 0.25314444482626985,
"tenor": "2022-01-31"
},
{
"endDate": "2022-02-28",
"startDate": "2021-12-29",
"discountFactor": 0.999512445820983,
"ratePercent": 0.29223054266751536,
"tenor": "2022-02-28"
},
0 -
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