Selection of tenors when no data is available.

Hello,

I would like to know how can I set up a VBA code for looking different tenors for deposit rates (CADDEPO=) which are not available. Say I have a position on CAD deposit rate with maturity 40 days, now I need to have some kind of way to select the lower/nearer tenor (1M) and the upper/further tenor (2M) so I can interpolate the position in question (CAD with 40 days till maturity). I would welcome a hint that would work for repetitive finding of the lower and upper tenors, like if there would no be 1M tenor available then it would go to the 3W tenor until it founded the some data (same for the upper tenor).

Any hints would be much appreciated as I have no luck to figure this one out.

michal

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Accepted answers

Alex Putkov.1

First use AdxRtChain COM object of AdfinX Real-Time library to retrieve the constituents of CADDEPO=. Then use AdxRtList object of the same library to retrieve the maturity date (MATUR_DATE, FID 68) and the depo rate value for each constituent of CADDEPO=, and build the depo curve (i.e. an array of maturity dates and corresponding depo rates). Then pass this depo curve to AdInterp method of AdxUtilityModule class to interpolate the depo value on your target date from the depo curve. See tutorials 2, 3 and 8 on Eikon COM APIs for use in MS Office for examples of using AdxRtList, AdxRtChain objects and for an example of calling methods from AdfinX Analytics Functions library.
https://developers.refinitiv.com/eikon-apis/com-apis-use-microsoft-office/learning

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Alex Putkov.1

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