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Yield curve - Python refinitiv.dataplatform

Hi, I'm using Python refinitiv.dataplatform. I would like to obtain Yield curve data (EURIBOR, SONIA, SOFR, PRIBOR,...).

I tried this code and it didn't help:

endpoint = rdp.Endpoint(session,'https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/interest-rate-curves/definitions/triangulate')
request_body = {
  
"universe": [
{ "currency": "EUR",
"indexName": "EURIBOR",
"source": "Refinitiv"} ]}
reeponse = endpoint.send_request(method = rdp.Endpoint.RequestMethod.POST, body_parameters = request_body)


Also, I tried this:

rdp.open_platform_session(APP_KEY, rdp.GrantPassword(username=RDP_LOGIN, password=RDP_PASSWORD))
url = "https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/interest-rate-curves/definitions/triangulate"
payload = json.dumps({
  
"universe": [ { "currency": "EUR", "indexName": "EURIBOR", "source": "Refinitiv" } ]})
headers = { 'Content-Type': 'application/json'}
response = requests.request("POST", url, headers=headers, data=payload)



Is there any possible solution?

Thanks!

DB


refinitiv-data-platformyield-curve
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1 Answer

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Hi @dmitry.benediktovich

Can you please expand on what actually happens? What does the response.data.raw contain?

I just tried the 1st of your requests and I get back:

{'data': [{'directCurveDefinitions': [{'isDefaultPivot': False,
     'currency': 'CHF',
     'mainConstituentAssetClass': 'Swap',
     'riskType': 'InterestRate',
     'indexName': 'SARON',
     'source': 'Refinitiv',
     'name': 'CHF SARON Swap ZC Curve',
     'firstHistoricalAvailabilityDate': '2015-02-26',
     'id': 'c3618470-4161-4f35-a4da-adcf970d5af1',
     'owner': 'Refinitiv',
     'availableTenors': ['OIS'],
     'availableDiscountingTenors': ['OIS']},
    {'isDefaultPivot': False,
     'currency': 'CHF',
     'mainConstituentAssetClass': 'Swap',
     'riskType': 'InterestRate',
     'indexName': 'LIBOR',
     'source': 'Refinitiv',
     'name': 'CHF LIBOR Swap ZC Curve',
     'firstHistoricalAvailabilityDate': '2015-02-26',
     'id': '8bf899eb-ab35-484e-86d4-83dabe0d7f51',
     'owner': 'Refinitiv',
     'availableTenors': ['OIS', '1M', '3M', '6M'],
     'availableDiscountingTenors': ['OIS', '1M', '3M', '6M']},
    {'isDefaultPivot': False,
     'currency': 'JPY',
     'mainConstituentAssetClass': 'Swap',
     'riskType': 'InterestRate',
     'indexName': 'TIBOR',
     'source': 'Refinitiv',
     'name': 'JPY TIBOR (EMEA) Swap ZC Curve',
     'marketDataLocation': 'EMEA',
     'firstHistoricalAvailabilityDate': '2015-08-13',
     'id': 'a865716b-e437-4045-84b5-f6483d8b6a25',
     'owner': 'Refinitiv',
     'availableTenors': ['OIS', '1M', '3M', '6M'],
     'availableDiscountingTenors': ['OIS', '1M', '3M', '6M']},
and so on....

Do you have valid RDP MachineID + credentials and AppKey?



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