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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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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Thanks,
AHS
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' )
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" )