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PuayKai.Poh avatar image
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Is this an RDP equivalent of AdFxSwpToSwp

Is this endpoint (and data ["FxSwapsCcy1", "FxSwapsCcy2", "FxSwapsCcy1Ccy2", "FxOutrightCcy1Ccy2"]) the same as AdFxSwpToSwp in Excel?

https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts

{

"fields": [

"FxSwapsCcy1",

"FxSwapsCcy2",

"FxSwapsCcy1Ccy2",

"FxOutrightCcy1Ccy2"

],

"universe":[

{

"instrumentDefinition": {

"instrumentTag": "00102700008910C",

"fxCrossType": "FxForward",

"fxCrossCode": "AUDUSD",

"legs": [

{

"startDate":"2021-01-29T00:00:00Z",

"endDate":"2021-02-01T00:00:00Z"

}

]

},

"pricingParameters": {

"valuationDate": "2020-12-31T00:00:00Z",

"priceSide": "Mid"

},

"instrumentType": "FxCross"

}

],

"outputs": [

"Data",

"Headers"

]

}

rdp-apirefinitiv-data-platform
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moragodkrit.chumsri_1 avatar image   moragodkrit.chumsri_1

Hi @PuayKai.Poh,

Thank you for your participation in the forum.

Are any of the replies below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the most appropriate reply.

This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.


Thanks,

AHS

Jirapongse avatar image   Jirapongse

@PuayKai.Poh

Hi,

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

3 Answers

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marcin.bunkowski avatar image
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Hi @PuayKai.Poh

Yes, you can get the same results using this endpoint.

You can compare that with the desktop calculator Swap Points and Outrights (SPO) that is using the same methodology as AdFxSwpToSwp (). Please note that you calculate it via mid values.

Endpoint output

SPO (same as Adfin)


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PuayKai.Poh avatar image
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@marcin.bunkowski May we know Refinitiv's formula for calculating "FxOutrightCcy1Ccy2" for quarterend (they seem to be different to monthend)?
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marcin.bunkowski avatar image
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Hi @PuayKai.Poh I see that you are already in contact with the Analytics support where you will get the answer for your query.

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