Dates FixingDates
Compute the key date and values associated with an interest rate fixing, e.g. 3MLIBOR.
Parameter | Description | Default | Options |
---|---|---|---|
fixingDate Required |
Fixing Date | ||
floatingRateOption Required |
Floating Rate Option | AUD-AONIA , AUD-AONIA-RBA , AUD-AONIA-REUTERS , AUD-BBR-BBSW , AUD-BBSW , AUD-LIBOR-BBA , BRL-CDI , CAD-BA-CDOR , CAD-CDOR , CAD-CORRA , CAD-CORRA-BOC , CAD-LIBOR-BBA , CHF-LIBOR , CHF-LIBOR-BBA , CHF-SARON , CHF-SARON-REUTERS , CHF-TOIS-REUTERS , CLP-ICP , CLP-TNA , CNH-HIBOR , CNH-HIBOR-TMA , CNY-CNREPOFIX=CFXS-REUTERS , CNY-FIXING REPO RATE , CNY-SHIBOR , CNY-SHIBOROIS-REUTERS , COP-IBR , COP-IBROIS-BANREP , CZK-PRIBOR , CZK-PRIBOR-PRBO , DKK-CIBOR , DKK-CIBOR-DKNA13 , DKK-CIBOR2 , DKK-CIBOR2-DKNA13 , DKK-DESTR-DNB , EUR-EONIA-AVERAGE , EUR-EURIBOR , EUR-EURIBOR-REUTERS , EUR-EURIBOR-TELERATE , EUR-EUROSTR-ECB , EUR-LIBOR-BBA , GBP-LIBOR , GBP-LIBOR-BBA , GBP-SONIA-BOE , GBP-SONIA-WMBA , HKD-HIBOR , HKD-HIBOR-HIBOR , HKD-HIBOR-HKAB , HKD-HIBOR-ISDC , HKD-HONIX , HKD-HONIX-TELERATE , HUF-BUBOR , HUF-BUBOR-REUTERS , IDR-JIBOR , IDR-JIBOR-REUTERS , IDR-SBI-REUTERS , ILS-SHIR-BOI , ILS-TELBOR , ILS-TELBOR01-REUTERS , INR-MIBOR-FBIL , JPY-LIBOR , JPY-LIBOR-BBA , JPY-TIBOR-DTIBOR01 , JPY-TIBOR-ZTIBOR , JPY-TONA , JPY-TONA-BOJ , JPY-TONAR-REUTERS , KRW-CD 91D , KRW-CD-KSDA-BLOOMBERG , MXN-FTIIE-BANXICO , MXN-TIIE , MXN-TIIE-BANXICO , MYR-KLIBOR , MYR-KLIBOR-BNM , NOK-NIBOR , NOK-NIBOR-NIBR , NOK-NIBOR-OIBOR , NOK-NOWA , NZD-BBR-FRA , NZD-BBR-TELERATE , NZD-BKBM FRA , NZD-NZIONA , NZD-NZIONA-REUTERS , PEN-TIS , PHP-PHIREF-BAP , PLN-POLONIA , PLN-POLONIA-NBPS , PLN-WIBOR , PLN-WIBOR-WIBO , PLN-WIRON-GPW , RUB-MOSPRIME , RUB-MOSPRIME-NFEA , RUB-RUONIA , RUB-RUONIA-NFEA , SEK-STIBOR , SEK-STIBOR-SIDE , SEK-SWESTR-SRB , SGD-SOR , SGD-SOR-REUTERS , SGD-SOR-VWAP , SGD-SORA , SGD-SORA-MAS , THB-THBFIX , THB-THBFIX-REUTERS , THB-THOR , TWD-REUTERS-6165 , TWD-TAIBOR , TWD-TAIBOR-REUTERS , USD-BSBY , USD-FEDERAL FUNDS , USD-FEDERAL FUNDS-H.15 , USD-LIBOR , USD-LIBOR-BBA , USD-SOFR , USD-SOFR-FRB , ZAR-JIBAR , ZAR-JIBAR-SAFEX | |
maturity Optional |
Maturity | 3M | ON , TN , SN , 1W , 14D , 3W , 28D , 1M , 2M , 3M , 91D , 4M , 5M , 6M , 182D , 7M , 8M , 9M , 10M , 11M , 1Y |
import clarus response = clarus.dates.fixingdates(maturity='3M',floatingRateOption='USD-LIBOR-BBA',fixingDate='2017-08-22') print (response)
import com.clarusft.api.model.dates.FixingDatesRequest import com.clarusft.api.model.dates.FixingDatesResponse ApiClient clarus = ApiClient.getDefault(); FixingDatesResponse response = clarus.request(new FixingDatesRequest().withMaturity("3M").withFloatingRateOption("USD-LIBOR-BBA").withFixingDate("2017-08-22")); System.out.println(response);
import Clarus response = Clarus.Dates.fixingdates(maturity="3M",floatingRateOption="USD-LIBOR-BBA",fixingDate="2017-08-22") print(response)
##
##Need to install packages once, if not already installed
##install.packages('httr')
##install.packages('readr')
##
library('httr')
##library('readr')
## Manually edit and set key/secret here ##
apiKey <- '...'
apiSecret <-'...'
request <- function(category, functionName, ...){
restUrl = paste0('https://apieval.clarusft.com/api/rest/v1/', category, '/',functionName, '.csv')
response <- POST(url=restUrl, body=list(...), encode='json', authenticate(apiKey, apiSecret, type='basic'))
if (response$status_code!=200){
stop(paste0('Request to ', category, '/', functionName, ' failed with status code: ', response$status_code))
}
return (response)
}
dataframe <- function(response){
return (read.csv(text=content(response, 'text'), sep=',', head=TRUE))
}
## filename <- file.path('C:', 'Temp', 'myfile.csv')
## myvalue <- <- read_file(filename)
r <- request('dates', 'FixingDates', maturity='3M', floatingRateOption='USD-LIBOR-BBA', fixingDate='2017-08-22')
df <- dataframe(r)
print (df)
import requests
import sys
import pandas
import io
#import os
# Example of REST API call to Clarus Microservices #
# Manually edit and set key/secret here #
apiKey = ''
apiSecret = ''
print (sys.version)
def request(category, functionName, **params):
restUrl = 'https://apieval.clarusft.com/api/rest/v1/' + category + '/' + functionName + '.json'
r = requests.post(restUrl, json=params, auth=(apiKey, apiSecret))
r.raise_for_status()
return r.json()
def dataframe(results):
return pandas.DataFrame(results['results'])
# filename = os.path.join('C:\\', 'Temp', 'myfile.csv')
# myvalue = open(filename).read()
r = request('dates', 'FixingDates', maturity='3M', floatingRateOption='USD-LIBOR-BBA', fixingDate='2017-08-22')
df = dataframe(r)
print(pandas.DataFrame.head(df))
use strict;
use warnings;
use MIME::Base64;
use JSON;
use REST::Client;
# Example of REST API call to Clarus Microservices #
my $client = REST::Client->new();
$client->addHeader('Content-Type', 'application/json');
# Manually edit and set key/secret here
my $apiKey = '';
my $apiSecret = '';
my $encoded_auth = encode_base64("$apiKey:$apiSecret", '');
$client->addHeader('Authorization', "Basic $encoded_auth");
my %params = ('maturity' => '3M','floatingRateOption' => 'USD-LIBOR-BBA','fixingDate' => '2017-08-22');
my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'dates/';
my $name = 'FixingDates';
my $outputFormat = '.csv'; #can also be '.json' or '.tsv'
my $fullRESTUrl = $urlBase . $category . $name . $outputFormat;
$client->POST($fullRESTUrl,encode_json(\%params));
print 'Response: ' . $client->responseContent() . "\n";
print 'Response status: ' . $client->responseCode() . "\n";
printf('Example of REST API call to Clarus Microservices\n');
function r = request(category, functionName, params)
# Manually edit and set key/secret here #
apiKey = ''
apiSecret = ''
restUrl = ['https://' apiKey ":" apiSecret "@" 'apieval.clarusft.com/api/rest/v1/' category '/' functionName '.csv'];
[r, status, message] = urlread (restUrl, 'get', params);
if (status!=1)
error(['Failed on ' category '/' functionName ': ' message]);
endif
end
function ca = toCellArray(csvStr)
header_row = textscan (csvStr, "%s", 1, 'delimiter','\n');
headers = strsplit(char(header_row), ",");
numCols = size(headers)(2);
format = repmat('%s ', [1 numCols]);
ca = textscan (csvStr, format, 'delimiter',',', 'endofline',"\n");
end
params = {'maturity', '3M', ...
'floatingRateOption', 'USD-LIBOR-BBA', ...
'fixingDate', '2017-08-22'}
r = request('dates', 'FixingDates', params)
ca = toCellArray(r);
ca
Example of REST API query URL (GET)
CSV
https://apieval.clarusft.com/api/rest/v1/dates/fixingdates.csv?fixingDate=2017-08-22&floatingRateOption=USD-LIBOR-BBA&maturity=3M
TSV
https://apieval.clarusft.com/api/rest/v1/dates/fixingdates.tsv?fixingDate=2017-08-22&floatingRateOption=USD-LIBOR-BBA&maturity=3M
JSON
https://apieval.clarusft.com/api/rest/v1/dates/fixingdates.json?fixingDate=2017-08-22&floatingRateOption=USD-LIBOR-BBA&maturity=3M
HTML
https://apieval.clarusft.com/api/rest/v1/dates/fixingdates.html?fixingDate=2017-08-22&floatingRateOption=USD-LIBOR-BBA&maturity=3M
Request Body
Submit to generate...
Response
Submit to generate...
{
"floatingRateOption" : "USD-LIBOR-BBA",
"fixingDate" : "2017-08-22",
"maturity" : "3M"
}