Securitized Derivatives API for Digital Portals client library for Python

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Project description

Securitized Derivatives API for Digital Portals client library for Python

Search for securitized derivative instruments, using a criteria-based screener. The API provides also fundamental data, notation-based key figures, list of barrier types, and details regarding the underlyings, their respective barriers and related cash flows, coupon lists and derived basic interest rate information.

The screener is based on securitized derivatives-specific parameters. The result is limited to the notations that satisfy all the selected filters. If more than one notation of an instrument matches the parameters, and no market priority has been specified, only the notation with the highest trading volume, averaged over one month, is considered. All identifier types used as parameters must be valid and application must have permissions for them.

Available search criteria include:

validation: filter for only active listings, by price quality and latest/previous available price dates
traded markets: filter and indicate a market priority for the validation
life cycle: important dates in and features of the life cycle of the securitized derivatives instruments
filter by issuer, country of registration of the securitized derivatives
underlying and related barriers, including level and distance, and resulting cash flows
coupon data: where applicable, occurrence and frequency of coupon payments, current interest rate range
performance and volatility
product-specific ask-based key figures (not all key figures are available for all product types):
- bonus yield, sideways yield, maximum yield based on the ask price
- agio, discount
- spread
- break even, outperformance point, parity
- delta, weekly theta, vega, implied volatility
- leverage, omega
- intrinsic value, time value

Since some underlyings, e.g. an index or a performance difference of a stock and an index (alpha structure), do not represent a directly tradable asset, they do not have a price in the classical sense. Therefore, the term level is used instead of price, e.g. underlying level instead of underlying price. The endpoint does not support the search for securitized derivatives with multiple underlyings, thus only securitized derivatives with a single underlying are returned in the result.

The search can be restricted to a specific set of products by using customer-specific instrument or notation lists. Such restriction lists are set up by FactSet upon request.

This API is fully integrated with the corresponding Quotes API, allowing access to detailed price and performance information of instruments, as well as basic security identifier cross-reference. For direct access to price histories, please refer to the Time Series API for Digital Portals.

Similar criteria based screener APIs exist for equity and fixed income instruments: See the Stocks API and the Bonds API for details.

This Python package is automatically generated by the OpenAPI Generator project:

API version: 2
Package version: 0.10.2
Build package: org.openapitools.codegen.languages.PythonClientCodegen

Requirements

Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.SecuritizedDerivativesAPIforDigitalPortals

pip

pip install fds.sdk.utils fds.sdk.SecuritizedDerivativesAPIforDigitalPortals

Usage

Generate authentication credentials.
Setup Python environment.
1. Install and activate python 3.7+. If you're using pyenv:
```
pyenv install 3.9.7
pyenv shell 3.9.7
```
2. (optional) Install poetry.
Install dependencies.
Run the following:

from fds.sdk.utils.authentication import ConfidentialClient
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.api import securitized_derivative_api
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.models import *
from dateutil.parser import parse as dateutil_parser
from pprint import pprint

# See configuration.py for a list of all supported configuration parameters.

# Examples for each supported authentication method are below,
# choose one that satisfies your use case.

# (Preferred) OAuth 2.0: FactSetOAuth2
# See https://github.com/FactSet/enterprise-sdk#oauth-20
# for information on how to create the app-config.json file
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
    fds_oauth_client=ConfidentialClient('/path/to/app-config.json')
)

# Basic authentication: FactSetApiKey
# See https://github.com/FactSet/enterprise-sdk#api-key
# for information how to create an API key
# configuration = fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = securitized_derivative_api.SecuritizedDerivativeApi(api_client)
    attributes = [
        "_attributes_example",
    ] # [str] | Limit the attributes returned in the response to the specified set. (optional)

    try:
        # List of barrier types.
        api_response = api_instance.get_securitized_derivative_barrier_type_list(attributes=attributes)
        pprint(api_response)
    except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
        print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

    # Get response, http status code and response headers
    # try:
    #     # List of barrier types.
    #     api_response, http_status_code, response_headers = api_instance.get_securitized_derivative_barrier_type_list_with_http_info(attributes=attributes)
    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
    #     print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

    # Get response asynchronous
    # try:
    #     # List of barrier types.
    #     async_result = api_instance.get_securitized_derivative_barrier_type_list_async(attributes=attributes)
    #     api_response = async_result.get()
    #     pprint(api_response)
    # except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
    #     print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

    # Get response, http status code and response headers asynchronous
    # try:
    #     # List of barrier types.
    #     async_result = api_instance.get_securitized_derivative_barrier_type_list_with_http_info_async(attributes=attributes)
    #     api_response, http_status_code, response_headers = async_result.get()
    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.ApiException as e:
    #     print("Exception when calling SecuritizedDerivativeApi->get_securitized_derivative_barrier_type_list: %s\n" % e)

Documentation for API Endpoints

All URIs are relative to https://api.factset.com/wealth/v1

Class	Method	HTTP request	Description
SecuritizedDerivativeApi	get_securitized_derivative_barrier_type_list	GET /securitizedDerivative/barrier/type/list	List of barrier types.
SecuritizedDerivativeApi	get_securitized_derivative_get	GET /securitizedDerivative/get	Fundamental data for a single securitized derivative.
SecuritizedDerivativeApi	get_securitized_derivative_key_figures_notation_get	GET /securitizedDerivative/keyFigures/notation/get	Notation-based key figures of a securitized derivative.
SecuritizedDerivativeApi	get_securitized_derivative_underlying_list	GET /securitizedDerivative/underlying/list	List of underlyings with barrier and cash flow information.
SecuritizedDerivativeApi	post_securitized_derivative_issuer_search	POST /securitizedDerivative/issuer/search	Search for issuers of securitized derivatives.
SecuritizedDerivativeApi	post_securitized_derivative_notation_ranking_intraday_list	POST /securitizedDerivative/notation/ranking/intraday/list	Ranking of securitized derivatives' notations using intraday figures.
SecuritizedDerivativeApi	post_securitized_derivative_notation_screener_search	POST /securitizedDerivative/notation/screener/search	Screener for securitized derivatives's notations based on securitized derivatives-specific parameters.
SecuritizedDerivativeApi	post_securitized_derivative_notation_screener_value_ranges_get	POST /securitizedDerivative/notation/screener/valueRanges/get	Possible values and value ranges for the parameters used in the endpoint `/securitizedDerivative/notation/screener/search`.

Documentation For Models

Documentation For Authorization

FactSetApiKey

Type: HTTP basic authentication

FactSetOAuth2

Type: OAuth
Flow: application
Authorization URL:
Scopes: N/A

Notes for Large OpenAPI documents

If the OpenAPI document is large, imports in fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.apis and fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.models may fail with a RecursionError indicating the maximum recursion limit has been exceeded. In that case, there are a couple of solutions:

Solution 1: Use specific imports for apis and models like:

from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.api.default_api import DefaultApi
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.model.pet import Pet

Solution 2: Before importing the package, adjust the maximum recursion limit as shown below:

import sys
sys.setrecursionlimit(1500)
import fds.sdk.SecuritizedDerivativesAPIforDigitalPortals
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.apis import *
from fds.sdk.SecuritizedDerivativesAPIforDigitalPortals.models import *

Contributing

Please refer to the contributing guide.

Copyright

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

Project details

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This version

0.10.2

Aug 31, 2022

0.10.1

Jul 21, 2022

0.10.0

May 24, 2022

0.9.1

Feb 14, 2022

0.9.0

Feb 2, 2022

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