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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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How can I retrieve in Excel historical swaption volatility surfaces?
I need to get swaption volatility surfaces for a time lenght of at least 8/9 years. I have 14 different exercise dates and 14 different tenors. It is for my master thesis. I looked up at the Q&A and I tried to insert them with RHistory function: =RHistory("EUR3MX1Y=TTKL; EUR3MX2Y=TTKL; EUR3MX3Y=TTKL; EUR3MX4Y=TTKL;…
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How to retrieve historical swaption volatilities in Excel?
I need to get swaption volatility surfaces for a time lenght of at least 10 years. It is for my master thesis. I looked up at the Q&A and I tried to insert them with RHistory function: =RHistory("USD3MFSR";"BID.TIMESTAMP;BID.CLOSE";"NBROWS:1500 INTERVAL:1D";"CH:IN;Fd STREPEAT:N";B3) Unfortunately it's not working. It says…
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Historical CDS Data for all S&P 500 firms
Hello, I want to export historical data on 3-year CDS spreads for firms included in the S&P 500 index, with an annual snapshot as of March 31st for each year from 2014 through 2023. As I am new to working with financial data sets, I would greatly appreciate a step-by-step guide on how to access and export this specific…
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Refinitiv data library for Python to price a USD 5Y swap USD_SB3L and a swaption which take the s...
...ame swap as underlying hello, when I use refinitiv data library for Python to price a USD 5Y swap USD_SB3L and a swaption which take the same swap as underlying, I don't get the same value in FixedRatePercent of the swap and in the StrikePercent of the swaption, but they should be the same ? FixedRatePercent of swap in…
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IRS pricing using user defined forward curves
Hello, I have successfully constructed a custom forward curve using my own parameters and instruments through RDP API. forward_zcCurve_endpoint = rdp.Endpoint(session, "https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/curves/forward-curves") user_defined_zc_response =…
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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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SOFR SWAP CURVE
I'm trying to get SOFR SWAP Curve in real time. How would I do that? I have used Eikon in the past but your RDP library may have improved and I can use it?
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SOFR SWAP Curve
I would like to retrieve SOFR SWAP Curve. What's the mnemonic for it and how do I retreive it? TY
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How can I get intraday data from today? Since today start of day until the time the script is run?
I would like to get intraday data until the time of the day I'm running the script. The only way I've found so far to get intraday if by using get_timeseries function. However, that only allows me to get the intraday data from previous dates before today. In below example i get data per minute for the 29th, but not for the…
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IRS Template Definitions in Instrument Pricing Analytics
Hey. I am looking for a way to download the templates available in the Instrument Pricing Analytics api. For example. I want to know the definition of: CNY_QM7R . As well as definitions of standard templates for other currencies. My use case is then to modify them slightly and make additional requests. Is there such an API…
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Timeout errors and too many requests for instrument pricing analytics
Hey. I am calling the instrument pricing analytics serivce, specifically: https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts import refinitiv.dataplatform as rdp ... endpoint = rdp.Endpoint(session, 'https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts') req =…
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How to collect interest rate swap day count conventions in Eikon Python api?
The Eikon desktop application has a "Description" page for swaps (USD1YOIS=) that presents contract specification data such as day-count convention, holiday calendar, and reference rate RIC. Is there a way to locate Python api field names for these items? I could not locate them in the Data Item Browser, or using the TR…
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ipa financial contracts Swaption python API not working for call_put = 'PUT'
I am trying to to use the Swaption Pricer via the Python Eikon Api, and it seems that the functionality does not work if the Swaption is specified as a call option. For a put option I get reasonable results, but for a call option I only get None values. See below example: This one works: swapDef =…
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Currently, we get prefixed benchmarks like TONA TSR by old-style data flow but for the new benchm...
...ark like TONA compounding rate, we get it by using IPA service. Is there a way to get the rate of SOFR ICE Swap Rate and FB of it? Currently, we get prefixed benchmarks like TONA TSR by old-style data flow from Refinitv but for the new benchmark like TONA compounding rate, we get it by using IPA service. Is there a way…
