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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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' )
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 ....
Yes you can get real time this way:
rd.get_data( ["USDSOFR=", "USDSR3L10Y="], #["USDSOFR=","SOFR1MAVG=","USDSR3L10Y="], ["TR.CLOSEPRICE","CF_CLOSE","CLOSE","BID","CF_BID","CF_ASK","CF_LAST","PRIMACT_1"],#,"TR.ACCUMULATEDVOLUME" )
