Cftc Ois Curve History
Implementation details
Class names
| Model name | Parameters class | Data class |
|---|---|---|
CftcOisCurveHistory | CftcOisCurveHistoryQueryParams | CftcOisCurveHistoryData |
Import Statement
from openbb_core.provider.standard_models. import (
CftcOisCurveHistoryData,
CftcOisCurveHistoryQueryParams,
)
Parameters
- standard
- cftc
currency: str | None
Default: USD
Currency of the swap curve.
start_date: date | None
Start date of the history. Default is 30 days before the end date. Files are retained for 366 days.
end_date: date | None
End date of the history. Default is the most recent date published.
measure: str | None
Default: par_rate
Curve measure to return for each tenor.
tenor: str | None | list[str | None]
Filter to specific benchmark tenors. Default is all tenors. E.g., '2Y,5Y,10Y'. Multiple items allowed.
aggregation: str | None
Default: median
How each node's executed rates are reduced to a par rate.
min_trades: int | None
Default: 1
Drop nodes priced by fewer than this many trades on a given date. The default keeps every node, because one executed trade is still a price.
interpolation: str | None
Default: log_linear
How discount factors are interpolated between pillars, on the log of the discount factor. 'log_linear' is piecewise linear; 'log_cubic' is a monotone Hermite cubic giving smooth forwards. Only affects zero_rate, discount_factor and forward_rate, not par_rate.
pivot: bool | None
Default: True
Return a date-by-tenor table. Set to False for flat, long-form rows.
use_cache: bool | None
Default: True
Cache the daily files locally, revalidating against the source ETag.
Data
- standard
- cftc
date: date | str
Report date of the curve.
tenor: str | None
Tenor of the observation. Returned when pivot is False.
value: float | None
Value of the measure at the tenor, expressed as a decimal. Returned when pivot is False.
tenor_1w: float | None
1W node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_2w: float | None
2W node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_1m: float | None
1M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_2m: float | None
2M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_3m: float | None
3M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_4m: float | None
4M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_6m: float | None
6M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_9m: float | None
9M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_1y: float | None
1Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_18m: float | None
18M node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_2y: float | None
2Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_3y: float | None
3Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_4y: float | None
4Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_5y: float | None
5Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_6y: float | None
6Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_7y: float | None
7Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_8y: float | None
8Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_9y: float | None
9Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_10y: float | None
10Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_12y: float | None
12Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_15y: float | None
15Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_20y: float | None
20Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_25y: float | None
25Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_30y: float | None
30Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_40y: float | None
40Y node of the curve, expressed as a decimal. Returned when pivot is True.
tenor_50y: float | None
50Y node of the curve, expressed as a decimal. Returned when pivot is True.