We are looking to generate the forward curve for different currencies. While we are able to generate the curve for the following currency and index name combination:
currency indexName
USD LIBOR
EUR EURIBOR
GBP LIBOR
SEK STIBOR
ZAR JIBOR
CHF LIBOR
DKK CIBOR
it does not seem to work for NOK (NIBOR)
Sample call:
POST URL: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves
BODY:
{
"universe": [
{
"curveDefinition": {
"currency": "NOK",
"indexName": "NIBOR",
"discountingTenor": "OIS"
},
"forwardCurveDefinitions": [
{
"indexTenor": "3M",
"forwardCurveTag": "ForwardTag",
"forwardStartDate": "2021-02-01",
"forwardCurveTenors": [
"0D",
"1D",
"2D",
"3M",
"6M",
"9M",
"1Y",
"2Y",
"3Y",
"4Y",
"5Y",
"6Y",
"7Y",
"8Y",
"9Y",
"10Y",
"15Y",
"20Y",
"25Y"
]
}
]
}
]
}
It always returns:
{
"data": [
{
"error": {
"id": "0869c25e-c9f3-4764-8dec-c90bec681cc7/0869c25e-c9f3-4764-8dec-c90bec681cc7",
"code": "QPS-Curves.10",
"message": "The service failed to find the curve constituents"
}
}
]
}
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Unable to get Forward Curve for NOK (NIBOR) in RDP IPA
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Thanks,
-AHS
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Thank you @Alex Putkov. This definitely answers my query. I was able to get a response after changing the indexName to OIBOR. :)
