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Anthony.Llamas avatar image
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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






#productrefinitiv-data-platform
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m.bunkowski avatar image
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Hi @Anthony.Llamas

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",
...


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Anthony.Llamas avatar image
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Hi @marcin.bunkowski01

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"

},

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m.bunkowski avatar image m.bunkowski

Hi @Anthony.Llamas

If you think that the results are incorrect please reach out to the content support opening a ticket here.

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