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dmitry.benediktovich avatar image
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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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wasin.w avatar image   wasin.w

Hello @dmitry.benediktovich

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS

wasin.w avatar image   wasin.w

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

Thanks,


AHS

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umer.nalla avatar image
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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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