Cftc Ois Policy Path
Implementation details
Class names
| Model name | Parameters class | Data class |
|---|---|---|
CftcOisPolicyPath | CftcOisPolicyPathQueryParams | CftcOisPolicyPathData |
Import Statement
from openbb_core.provider.standard_models. import (
CftcOisPolicyPathData,
CftcOisPolicyPathQueryParams,
)
Parameters
- standard
- cftc
currency: str | None
Default: USD
Currency of the policy path, read from its forward-starting OIS. Only the currencies whose central banks trade meeting-dated OIS in depth are offered.
date: date | None
Dissemination date (UTC) the path is built as of; defaults to the most recent. It anchors the forward start, so a window ending here is used and a trade whose start has since rolled to spot drops out.
lookback_days: int | None
Default: 10
Number of recent daily files to combine, ending on date. Meeting-dated OIS are thin on any single day, so a handful of files are pooled to price each forward start in depth; a node's own freshest day is reported as as_of_date.
min_trades: int | None
Default: 3
Drop a forward start priced by fewer than this many trades across the window. The default trims the one-off prints that are not meeting nodes.
use_cache: bool | None
Default: True
Cache the source data locally, revalidating against the source ETag.
Data
- standard
- cftc
date: date | str
Date the path is built as of.
currency: str
Currency of the path.
index: str
Forward start date of the period - the row and chart index.
rate: float
Expected average overnight rate over the period, in percent.
forward_days: int
Days from the curve date to the period's start.
start_date: date | str
Start (effective date) of the period.
end_date: date | str
End (maturity) of the period.
tenor_days: int
Length of the period, in days.
num_trades: int
Trades pricing the node across the window.
as_of_date: date
Freshest day the node's trades were disseminated on.
staleness_days: int
Days between the node's as-of day and the path's freshest node.
min_rate: float
Lowest executed rate at the node, in percent.
max_rate: float
Highest executed rate at the node, in percent.
is_capped: bool
Whether any trade at the node had its notional disseminated at the cap.