My objective is to price an existing interest rate swap on the fly using python.
In order evaluate the IRS floating leg I need from the python API the:
1 - Euribor 6M Forward curve (Derived from the Euribor 6M zero curve one can find in the reuters eikon swap pricer) to forecast the swap future cash flows.
2 - The OIS EONIA zero curve to discount the cashflows.
I already have in my database the swap structure (cash flows and dates). I just need to upload the rates and then interpolate the values in python. However, I need the above mention curves.
Can please someone help me on this?