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How to extract all LIBOR rates(USD, GBP, CHF, EUR, JPY) with all 7 different maturities(Overnight, 1 week, 1 month, 2 month, 3 month, 6 month, 12 month) by sending request to DSS REST API? Please give an example, urgent.
11.3k
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The rates and maturities could be identified using RIC name. For example, USD overnight rate, the RIC should be on USDONFSR=. If the extraction takes tool long to complete, it possibly is due to embargo. Please find more information in this tutorial.
Anyway, you can try the /LIBOR=which is delayed RIC. The delayed RIC is not affected by embargo.
Below is the request sample.
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
"ContentFieldNames": [
"RIC",
"Last Price",
"Trade Date"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"IdentifierType": "ChainRIC",
"Identifier": "/LIBOR="
}
]
}
}
}
all fields are null...
These are LIBOR rates I queried from other websites. So what the request template should be if I want to retrieve today or yesterday LIBOR rates (in 7 maturities (from overnight to 12 months) and in 5 different currencies mentioned in the question) ?
@beatgtech,
As you can see, the Notes fields indicates that the extraction was embargoed because your account doesn't have permission for ICE LIBOR Real-time. You will get the extracted data after 1439 minutes. Please contact your Refinitiv account manager for the permission issue.
Anyway, you can try the /LIBOR= RIC instead for previous day data.
11.3k
●25 ●8 ●13
Hi @beatgtech,
You can use chain RIC: LIBOR= to extract all LIBOR rates. Below is the sample of request.
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
"ContentFieldNames": [
"Bid Price",
"Ask Price"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"IdentifierType": "ChainRIC",
"Identifier": "LIBOR="
}
]
}
}
}
