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How to get daily future deliverable basket analysis result via refinitive data python API?
Dear support team I would like to get historical time series of the following delivery basket information in daily basis. response = bond.Definition( instrument_code='TYc1', extended_params={'instrumentType': "BondFuture"}, fields=["DeliveryBasket"] ).get_data() response.data.raw How can I achieve? Particularly I would…
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IPA interest rate cap volatility source
Hi, is there a field which can be used in the Python Refinitiv Data IPA Financial Contracts cap/floor definition to change the volatility source? I am looking specifically at USD SOFR caps. For example, on the CAPF gui you can change source with the dropdown below.
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Commodity Options data (Option Price)
Hi, Using the API, is there a way to retrieve options data (mainly option prices) for commodities (e.g., 0#NG+, 0#CL+) from a past date? For example, I need the values of some Natural Gas and Crude options as of 12/29/2023. Is it possible to get option prices for those options on that specific day? Currently, I use the…
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Python Refinitiv Data IPA Financial Contract IR Swap intra-day pricing with datetime
I'm trying to price a SOFR swap at intra-day time periods. The documentation implies that a datetime can be provided, however, responses from the service show no valuation differences if a different time is used. See below for example code and outputs. response = rdf.Definitions( universe=[swap.Definition(…
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User data for ReferenceCurve under IPA ZC-curves
Dear Developer community I'm trying to generate ZC Curves using Custom/user data by indicating a curveConstituents. I am able to do it for Curve subject to calculation, but i'm not able to the same for ReferenceCurve. i Want to generate ZC curve using EUR as Collat and then should be used as referencecurve. many thanks for…
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How to get the cds curve code from a bond ISIN?
For example, I have a bond ISIN XS1061711575, and I want to use python code to get the cds curve code 0#AEGNEUAMRBMK=. How can I make it work? Thank you so much!
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IPA Financial Contracts for Fx Cross api - error responses
I am using the IPA Financial Contracts for Fx Cross api to resolve Fx prices. I have made the same request (see payload below) several times over a period of 2-3 hours. Sometimes I receive an error response, sometimes I get a successful response. The error response was: QPS-Pricer.8020:Market data: No Fx Spot Point…
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Define constituents instruments of zero rate curve and then calculate
Hi, I am exploring zc_curves inside refinitiv.data.content.ipa.curves and want to define constituents of the curve by myself, e.g. choose some tenors of the IRS rather than using refinitiv default instruments. Then when I pull the zero rate curve, refinitiv calculates the curve based on my selected instruments. Is it…
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Bond calculator - cash flow
How is it possible to create the "norm factor" and "residual amount usd" column in bond calculator cash flow section using Eikon API or codebook? If so, is it possible to have these columns for multiple bond ISINs?
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Forward Valuation as on specific Time & Date using refinitiv.data.content.ipa.financial_contracts...
....cross By default forward valuation takes Spot as of NY Close. Tried passing datetime string. But its just taking NY Close. Is there any other parameter which an help to take spot rate as of a particular time ? pricing_parameters=cross.PricingParameters( market_data_date=specific_date_and_time,…
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Understanding why certain bonds return no data from RDP "get_bond_analytics" python function
I am using the RDP python package's `get_bond_analytics` function to get bond cashflow data like so: ``` import refinitiv.dataplatform as rdp from refinitiv.dataplatform.content.ipa import bond df = rdp.get_bond_analytics( universe=[<List of RICS codes>], fields=[ 'Isin', 'RIC', 'Cusip', 'Sedol', 'Ticker',…
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Python RDP: IPA Financial Contracts: Caps/Floors, how to add "firstRegularPaymentDate" argument
Hi, I am trying to add an argument for "firstRegularPaymentDate" to the definition of a CAP instrument. I can see on the API that this argument is permitted, however, I can't work out how to add this argument in Python RDP. I need to use the RDP not API to perform this calculation. Documentation of available term in the…
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Option Contracts - Eti - Dictionary
Hello, What is the proper URL for contracts' properties? I am looking at the following URL for Equity Options: https://developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-financial-contracts-option-contracts-eti but the property names found in the URL under <Pricing…
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RDP IPA: Floored swap market value array
I'm using the python RDP financial contracts swap module to value a "Floored Swap" instrument. The code runs as expected, and returns the values as expect. However, as part of the output, I would like to see an array of the Floor Market Values (by cashflow date). Something similar to the output from a cap using the output…
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Historical volatility surface or option data
Hello, I am looking for a way to retrieve, via either Eikon API or Refinitiv Data Library for Python, the historical volatility surface (ie at any given date, a matrix of IV with option strikes along cloumns and option tenors along rows) of options on both equity indices and individual stocks. Alternatively, it would…
