ois_curve_history

Get an overnight index swap curve over time, as a date-by-tenor table.

Examples

from openbb import obb
obb.cftc.ois_curve_history(provider='cftc')
# Track benchmark tenors over time.
obb.cftc.ois_curve_history(tenor='2Y,5Y,10Y,30Y', provider='cftc')
# Get the history of bootstrapped SONIA zero rates, in long form.
obb.cftc.ois_curve_history(currency='GBP', measure='zero_rate', pivot=False, provider='cftc')

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.

---

Returns

results: CftcOisCurveHistory

Serializable results.

provider: str | None

Provider name.

warnings: Optional[list[Warning_]]

List of warnings.

chart: Optional[Chart]

Chart object.

extra: dict[str, Any]

Extra info.

---

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.