SOFR SWAP Curve

vlad.dimanshteyn

I would like to retrieve SOFR SWAP Curve. What's the mnemonic for it and how do I retreive it? TY

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Accepted answers

jonathan.legrand

Hi @vlad.dimanshteyn,

Please note that this forum is for technical questions related to LSEG technology (more specifically, LSEG APIs). For content questions such as yours, we suggest using myrefinitiv.

With that said, I had a quick look for you. I see that you taged your question with "eikon-data-api" (EDAPI), but I would suggest using its successor, RD Lib. If you have access to EDAPI, you will have access to RD Lib.
Looking on Workspace, I foudn the following RICs that may be of interest to you: "USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y=".
Personally, I would suggerst looking for the SOFR SWAP for a specific horizon (e.g.: SOFR SWAP 10 year). This is how I found the above.
Assuming you are coding in Python, you can find data in ways similar to this:

# !pip install refinitiv-data
import refinitiv.data as rd

rd.get_history(
    universe=["USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y="],
    fields=["TR.CLOSEPRICE", "CF_CLOSE", "CLOSE", "BID", "CF_BID", "CF_ASK", "CF_LAST", "PRIMACT_1"], # , "TR.ACCUMULATEDVOLUME"
    start="2023-01-01",
    end="2023-07-01",
    # interval='daily'
    )

All comments

jonathan.legrand

Hi @vlad.dimanshteyn,

Please note that this forum is for technical questions related to LSEG technology (more specifically, LSEG APIs). For content questions such as yours, we suggest using myrefinitiv.

# !pip install refinitiv-data
import refinitiv.data as rd

rd.get_history(
    universe=["USDSOFR=", "SOFR1MAVG=", "USDSR3L10Y="],
    fields=["TR.CLOSEPRICE", "CF_CLOSE", "CLOSE", "BID", "CF_BID", "CF_ASK", "CF_LAST", "PRIMACT_1"], # , "TR.ACCUMULATEDVOLUME"
    start="2023-01-01",
    end="2023-07-01",
    # interval='daily'
    )

vlad.dimanshteyn

Thank you Jonathan. I would like to get current data, not history, do I just use rd.get_data instead of rd.get_history?

is LSEG the request/response API set? TY

Too many confusing acronyms here ....

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