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Advancedate

Advance the start date by interval ivl. Date is in ISO format. Interval can be in units of days (D), weeks (W), months (M), or years (Y)

query Parameters
startDate
required
string <date> (Startdate)
ivl
required
string (Ivl)

Responses

Response samples

Content type
application/json
null

Listbusinessdays

Return list of all business days according to calendar

query Parameters
startDate
required
string <date> (Startdate)
endDate
required
string <date> (Enddate)
calendar
required
string (Calendar)
Enum: "UnitedStates" "UnitedKingdom" "Argentina" "Australia" "Brazil" "Canada" "Chile" "China" "CzechRepublic" "Denmark" "Finland" "France" "Germany" "HongKong" "Hungary" "Iceland" "India" "Indonesia" "Israel" "Italy" "Japan" "Mexico" "NewZealand" "Norway" "Poland" "Russia" "Romania" "SaudiArabia" "Singapore" "Slovakia" "SouthAfrica" "SouthKorea" "Sweden" "Switzerland" "Taiwan" "TARGET" "Thailand" "Turkey" "Ukraine"

An enumeration.

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Content type
application/json
null

Calcyearfract

Return year fraction between startDate and endDate according to day counter dc

query Parameters
required
Startdate (string) or Startdate (string) (Startdate)
required
Enddate (string) or Enddate (string) (Enddate)
dc
required
string (DayCount)
Enum: "Actual360" "Actual364" "Actual365Fixed" "Thirty360" "Thirty365" "ActualActual" "OneDayCounter" "SimpleDayCounter" "Business252"

Daycounting conventions

Responses

Response samples

Content type
application/json
null

Calcyieldcurve

Return nodes of a yield curve built from OIS market quotes

query Parameters
refDate
required
string <date> (Refdate)
dc
required
string (DayCount)
Enum: "Actual360" "Actual364" "Actual365Fixed" "Thirty360" "Thirty365" "ActualActual" "OneDayCounter" "SimpleDayCounter" "Business252"

Daycounting conventions

Request Body schema: application/json
Array
settleDays
required
integer (Settledays)
tenor
required
string (Tenor)
rate
required
number (Rate)
index
required
string (OvernightIndex)
Enum: "Sofr" "Aonia" "Eonia" "Sonia" "FedFunds" "Nzorc" "Estr"

Overnight interest rate indicies

Responses

Request samples

Content type
application/json
[
  • {
    }
]

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Content type
application/json
null

Valueois

query Parameters
today
required
string <date> (Today)
Request Body schema: application/json
required
object (OIS)
required
object (PiecewiseCurve)

Responses

Request samples

Content type
application/json
{
  • "swap": {
    },
  • "curve": {
    }
}

Response samples

Content type
application/json
null

Calcforwardrates

Calculate forward rates

Request Body schema: application/json
required
object (PiecewiseCurve)
times
required
Array of numbers (Times)

Responses

Request samples

Content type
application/json
{
  • "curve": {
    },
  • "times": [
    ]
}

Response samples

Content type
application/json
null

Mkschedule

query Parameters
startDate
required
string <date> (Startdate)
endDate
required
string <date> (Enddate)
tenor
required
string (Tenor)
calendar
required
string (Calendar)
Enum: "UnitedStates" "UnitedKingdom" "Argentina" "Australia" "Brazil" "Canada" "Chile" "China" "CzechRepublic" "Denmark" "Finland" "France" "Germany" "HongKong" "Hungary" "Iceland" "India" "Indonesia" "Israel" "Italy" "Japan" "Mexico" "NewZealand" "Norway" "Poland" "Russia" "Romania" "SaudiArabia" "Singapore" "Slovakia" "SouthAfrica" "SouthKorea" "Sweden" "Switzerland" "Taiwan" "TARGET" "Thailand" "Turkey" "Ukraine"

An enumeration.

convention
required
string (BusDay)
Enum: "Following" "ModifiedFollowing" "Preceding" "ModifiedPreceding" "Unadjusted" "HalfMonthModifiedFollowing" "Nearest"

Business Day adjustment conventions

Following and Preceding adjust to respectively the first business day after or before the holiday.

The "modified" variants do the same, except if this would move the date to a different month in which case they reverse direction of adjustment.

termConvention
required
string (BusDay)
Enum: "Following" "ModifiedFollowing" "Preceding" "ModifiedPreceding" "Unadjusted" "HalfMonthModifiedFollowing" "Nearest"

Business Day adjustment conventions

Following and Preceding adjust to respectively the first business day after or before the holiday.

The "modified" variants do the same, except if this would move the date to a different month in which case they reverse direction of adjustment.

gen
required
string (DateGen)
Enum: "Backward" "Forward" "Zero" "ThirdWednesday" "ThirdWednesdayInclusive" "Twentieth" "TwentiethIMM" "OldCDS" "CDS" "CDS2015"

The rule by which intermediate dates are computed.

endOfMonth
required
boolean (Endofmonth)

Responses

Response samples

Content type
application/json
null

Calczeroinflcurve

Calculate a Zero Inflation Curve from market observation of inflation swaps

query Parameters
refDate
required
string <date> (Refdate)
calendar
required
string (Calendar)
Enum: "UnitedStates" "UnitedKingdom" "Argentina" "Australia" "Brazil" "Canada" "Chile" "China" "CzechRepublic" "Denmark" "Finland" "France" "Germany" "HongKong" "Hungary" "Iceland" "India" "Indonesia" "Israel" "Italy" "Japan" "Mexico" "NewZealand" "Norway" "Poland" "Russia" "Romania" "SaudiArabia" "Singapore" "Slovakia" "SouthAfrica" "SouthKorea" "Sweden" "Switzerland" "Taiwan" "TARGET" "Thailand" "Turkey" "Ukraine"

An enumeration.

dc
required
string (DayCount)
Enum: "Actual360" "Actual364" "Actual365Fixed" "Thirty360" "Thirty365" "ActualActual" "OneDayCounter" "SimpleDayCounter" "Business252"

Daycounting conventions

lag
required
string (Lag)
frequency
required
integer (Frequency)
baseRate
required
number (Baserate)
Request Body schema: application/json
Array
rate
required
number (Rate)
lag
required
string (Lag)
endDate
required
string <date> (Enddate)
calendar
required
string (Calendar)
Enum: "UnitedStates" "UnitedKingdom" "Argentina" "Australia" "Brazil" "Canada" "Chile" "China" "CzechRepublic" "Denmark" "Finland" "France" "Germany" "HongKong" "Hungary" "Iceland" "India" "Indonesia" "Israel" "Italy" "Japan" "Mexico" "NewZealand" "Norway" "Poland" "Russia" "Romania" "SaudiArabia" "Singapore" "Slovakia" "SouthAfrica" "SouthKorea" "Sweden" "Switzerland" "Taiwan" "TARGET" "Thailand" "Turkey" "Ukraine"

An enumeration.

convention
required
string (BusDay)
Enum: "Following" "ModifiedFollowing" "Preceding" "ModifiedPreceding" "Unadjusted" "HalfMonthModifiedFollowing" "Nearest"

Business Day adjustment conventions

Following and Preceding adjust to respectively the first business day after or before the holiday.

The "modified" variants do the same, except if this would move the date to a different month in which case they reverse direction of adjustment.

dc
required
string (DayCount)
Enum: "Actual360" "Actual364" "Actual365Fixed" "Thirty360" "Thirty365" "ActualActual" "OneDayCounter" "SimpleDayCounter" "Business252"

Daycounting conventions

index
required
string (InflationIndex)
Enum: "EUHICP" "EUHICPXT" "FRHICP" "UKRPI" "USCPI" "ZACPI"

Known inflation indices

required
object (PiecewiseCurve)

Responses

Request samples

Content type
application/json
[
  • {
    }
]

Response samples

Content type
application/json
null