zc_curves.Definition
Definition allows you to retrieve data regarding financial instruments within a specific session.
Module
refinitiv.data.content.ipa.financial_contracts
Syntax
'zc_curves.Definition(constituents, curve_definition, ...)'
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| constituents | See Constituents. | Constituents | Yes | - |
| curve_definition | See ZcCurveDefinitions. | ZcCurveDefinitions | Yes | - |
| curve_parameters | See ZcCurveParameters bellow. | ZcCurveParameters | Yes | - |
| curve_tag | A user-defined string to identify the interest rate curve. It can be used to link output results to the curve definition. Limited to 40 characters. | str | Yes | - |
| extended_params | Specifies the parameters that will be merged with the request. | dict | Yes | None |
Returned value
'zc_curves.Definition' instance
zc_curves.ZcCurveParameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| interest_calculation_method | Day count basis of the calculated zero coupon rates (See DayCountBasis). | enum | Yes | - |
| calendar_adjustment | Cash flow adjustment according to a calendar (See CalendarAdjustment). | str | Yes | - |
| calendars | A list of one or more calendar codes used to define non-working days and to adjust coupon dates and values. | str[] | Yes | - |
| compounding_type | Output rates yield type (See CompoundingType). | enum | Yes | - |
| convexity_adjustment | See ConvexityAdjustment, below. | - | Yes | - |
| extrapolation_mode | Extrapolation method for the curve - None: no extrapolation - Constant: constant extrapolation - Linear: linear extrapolation. | str | Yes | - |
| interpolation_mode | Interpolation method for the curve (See InterpolationMode). | enum | Yes | - |
| market_data_access_denied_fallback | See MarketDataAccessDeniedFallback. | enum | Yes | - |
| pivot_curve_parameters | See InterestRateCurveParameters. | - | Yes | - |
| price_side | Price side of the instrument to be used. (See PriceSide). | enum | Yes | - |
| reference_curve_parameters | See InterestRateCurveParameters. | - | Yes | - |
| steps | See Step. | list of Step | Yes | - |
| turns | Used to include end period rates/turns when calculating swap rate surfaces (See Turn). | list of Turn | Yes | - |
| ignore_existing_definition | The curve definition is provided in the request, so ignore the one from data base. | bool | Yes | - |
| reference_tenor | Root tenor(s) for the xIbor dependencies. | str | Yes | - |
| use_convexity_adjustment | example: True. | bool | Yes | - |
| use_multi_dimensional_solver | Specifies the use of the multi-dimensional solver for yield curve bootstrapping. This solving method is required because the bootstrapping method sometimes creates a ZC curve which does not accurately reprice the input instruments used to build it. The multi-dimensional solver is recommended when cubic interpolation methods are used in building the curve (in other cases, performance might be inferior to the regular bootstrapping method). When use for Credit Curve it is only used when the calibrationModel is set to Bootstrap. - true: to use multi-dimensional solver for yield curve bootstrapping - false: not to use multi-dimensional solver for yield curve bootstrapping. | bool | Yes | - |
| use_steps | example: True. | bool | Yes | - |
| valuation_date | The valuation date. | str | Yes | - |
Methods
get_data(session)
Sends a request to the Delivery Platform (formerly Refinitiv Data Platform) to retrieve the data described by the Definition object.
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| session | Means default session would be used. | Session | Yes | - |
Returned value
get_data_async(session, on_response)
Sends a request asynchronously to the Delivery Platform to retrieve the data described by the Definition object.
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| session | Means default session would be used. | Session | Yes | - |
| on_response | Callable object to process retrieved data. | Callable | Yes | - |