Upgrade from Eikon -> Workspace. Learn about programming differences.

For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
5 4 4 3

How to get outrights at broken dates on Swap Points App (SPO)

In Swap Points App (SPO), I can get like EURUSD values in a curve and I can specify the broken dates to get points in the middle of that curve vertices. How can I do that in the API?

eikoneikon-data-apipythonrefinitiv-dataplatform-eikonworkspaceworkspace-data-api
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
Accepted
39.4k 77 11 27

@ty

You can use Refinitiv Data Platform Library for this purpose. The library is not yet officially supported, but you can install a pre-release version from PyPI. You can find examples of using this library to price financial contracts in Codebook File Browser under Examples / 02 - Refinitiv Data Platform Library / 2.7.x - Content - Financial Contracts - ...

And you can find the documentation for contract definitions and output fields on Refinitiv Data Platform APIs page on this portal under Documentation - Manuals & Guides - IPA Financial Contracts - IPA Financial Contracts: FX Cross Contracts.

Here's a quick example returning mid swap points and outright for EURGBP forward ending 3 months and 10 days from spot.

import refinitiv.dataplatform as rdp 
rdp.open_desktop_session(your_app_key)
from refinitiv.dataplatform.content.ipa.contracts import cross
from refinitiv.dataplatform.content.ipa import FinancialContracts as fc
fwd_contract = cross.Definition(fx_cross_code='EURGBP', 
                                fx_cross_type='FxForward',
                                legs = [cross.LegDefinition(tenor='3M10D')])
response = fc.get_cross_analytics(fwd_contract, 
                                  fields = ['StartDate',
                                            'EndDate',
                                            'FxSwapsCcy1Ccy2', 
                                            'FxOutrightCcy1Ccy2'])
display(response.data.df)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
1 0 0 2

@Alex Putkov.1


Hello Alex,


Good day!


The client is using similar formula as above to retrieve the FX Forward and Outrights for USDSGD for 1Y.


import refinitiv.dataplatform as rdp


import refinitiv.dataplatform.eikon as rdp_ek

from refinitiv.dataplatform.content.ipa.contracts import cross

from refinitiv.dataplatform.content.ipa import FinancialContracts as fc


#%%

#%%


rdp.open_desktop_session('e6fae31d22dc4ffe8d72e8140f0df82412a8f248')



fwd_contract = cross.Definition(fx_cross_code='SGD',

fx_cross_type='FxForward',

legs = [cross.LegDefinition(tenor='1Y')])

response = fc.get_cross_analytics(fwd_contract,

fields = ['StartDate',

'EndDate',

'FxSwapsCcy1Ccy2',

'FxOutrightCcy1Ccy2'],

calculation_params = cross.CalculationParams(valuation_date='2023-01-03'))


response.data.df.iloc[0][1]


However, the client is trying to retrieve similar information for multiple tenors. Client is trying to retrieve similar to the attached sheet. They wish to retrieve the same data as excel using Python, one that can extract more than one tenor at a time.


See sample screenshot:

1696830046835.png


Once again, appreciate all the help.


Regards,

Kris Abigail Hilvano

Specialist, Desktop Trading






1696830046835.png (124.3 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

@kris.hilvano

The accepted question will not be monitored. Please post this question as a new question. Moreover, Alex has left the company.

Upvotes
1 0 0 2

Hello @Jirapongse


Thank you! Will repost question as new. Thank you once again :)

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.