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m.bunkowski avatar image
1.4k ●5 ●3 ●6

RDP Endpoint for and implied deposit calculation

Hi RDP experts,

Do you know if currently there is a way to get the implied deposit rates for custom tenors via an RDP IPA endpoint?

Thanks!

rdp-apiipa
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stepan.kalika avatar image
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Hi @marcin.bunkowski01! Hope this is what you're looking for.

{
    "outputs": [
        "Headers",
        "Data",
        "MarketData"
    ],
    "fields": [
        "InstrumentTag",
        "FxCrossType",
        "Tenor",
        "StartDate",
        "EndDate",
        "ImpliedDeposit_BidMidAsk",
        "ErrorMessage"
    ],
    "universe": [
        {
            "instrumentType": "FxCross",
            "instrumentDefinition": {
                "instrumentTag": "StandardPeriods",
                "fxCrossType": "FxForward",
                "fxCrossCode": "EURCHF",
                "legs": [
                    {
                        "tenor": "3M4D"
                    }
                ]
            },
            "pricingParameters": {
                "valuationDate": "2022-01-11",
                "fxSwapCalculationMethod": "DepositCcy1ImpliedFromFxSwap"
            }
        }
    ]
}
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m.bunkowski avatar image
1.4k ●5 ●3 ●6

@stepan.kalika thanks for that. That what I was looking for!

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