Overview

Summary

ForwardCurves content object gives your application an easy access to forward curves calculations.

Example of usage

import { ContentDefinition, IPA } from '@refinitiv-data/data';


const session = /* session creation is omitted */

(async () => {
    await session.open();

    const forwardCurveDefinition = {
        indexTenor: '3M',
        forwardCurveTag: 'ForwardTag',
        forwardStartDate: '2021-02-01',
        forwardCurveTenors: ['0D', '1D'],
    };

    const swapCurveDefinition = {
        currency: 'EUR',
        indexName: 'EURIBOR',
        discountingTenor: 'OIS',
    };

    const forwardCurveDefinition1 = IPA.Curves.ForwardCurve.Definition(
        {
            curveDefinition: swapCurveDefinition,
            forwardCurveDefinitions: [forwardCurveDefinition] 
        }
    );
    const forwardCurveDefinition2 = IPA.Curves.ForwardCurve.Definition(swapCurveDefinition, [forwardCurveDefinition]);
    const outputs = ['Constituents'];

    const forwardCurves = IPA.Curves.ForwardCurves.Definition([forwardCurveDefinition1, forwardCurveDefinition2], outputs);

    try {
        const response = await forwardCurves.getData(session);
        console.log('ForwardCurves data: ', response.data.raw.data);
    } catch (err) {
        console.log(err);
    } finally {
        session.close();
    }
})();