ois_forward_curve

Get the forward par swap rate curve, by forward start date.

Examples

from openbb import obb
obb.cftc.ois_forward_curve(provider='cftc')
# Plot the 5Y forward rate at yearly start dates.
obb.cftc.ois_forward_curve(forward_tenor='5Y', forward_step='1Y', provider='cftc')
# Get the next ten years of the SONIA 1Y forward.
obb.cftc.ois_forward_curve(currency='GBP', forward_tenor='1Y', forward_step='1Y', forward_count=10, provider='cftc')

Parameters

• standard
• cftc

currency: str | None
Default: USD
Currency of the swap curve.

forward_tenor: str | None
Default: 1Y
Length of the forward swap - the tenor of the swap priced at each forward start date. Independent of the spacing between starts.

forward_step: str | None
Default: 3M
Spacing between forward start dates. Set it apart from forward_tenor to plot, say, the 5Y forward at yearly starts (forward_tenor='5Y', forward_step='1Y').

forward_count: int | None
Number of forward start dates to plot. Defaults to the whole curve out to its last pillar; set it to plot only the first N steps (e.g. 10 with a 1Y step is the next ten years of the forward).

method: str | None
Default: implied
How the forward rates are formed. 'implied' reads them off the Nelson-Siegel-Svensson fit of the bootstrapped spot curve. 'observed' takes the fixed rates of the forward-starting swaps of the tenor directly, medianed by start and smoothed onto the grid - the market's own forward quotes, which reach only as far as that forward has traded.

source: str | None
Default: search
Where the trades come from. 'search' queries a window of dissemination days; 'slice' uses a single day's cumulative file, walking a weekend or holiday back to the most recent day that priced this currency.

date: date | None
Dissemination date (UTC). Ends the search window, or selects the most recent slice on or before it that priced this currency. History is retained for 366 days.

lookback_days: int | None
Default: 7
Days to look back over: the search window with source='search', or how far to walk back for the most recent priced day with source='slice'. The search chains 180-day sub-windows up to the one-year horizon, so a thin currency can fill its forwards from a full year of prints.

max_staleness_days: int | None
Drop any underlying node whose freshest print is older than this many days. A wide lookback_days fills thin tenors but resurrects some that last traded months ago; capping staleness keeps the forward strip current. Only meaningful with source='search'.

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.

interpolation: str | None
Default: log_linear
Discount-factor interpolation for the bootstrap the Nelson-Siegel-Svensson forward fit is drawn from.

use_cache: bool | None
Default: True
Cache the source data locally, revalidating against the source ETag.

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Returns

results: CftcOisForwardCurve

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.

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Data

• standard
• cftc

date: date | str
Date of the curve.

currency: str
Currency of the curve.

index: str
Forward start date of the swap - the row and chart index.

tenor: str
The forward swap and its start, e.g. '1Y @ 5.00Y' (a 1Y swap 5Y out).

start_years: float
Forward start of the swap, in years. 0 is spot.

forward_rate: float
Forward par swap rate, in percent (4.32 is 4.32%).

extrapolated: bool | None
Whether the swap's tail ran past the last pillar, extended by the fit.

num_trades: int
Trades behind the curve nodes spanning this forward's start-to-tenor span, or the nearest node's when none fall inside it.