LSEG Analytics SDK for Python

The LSEG Analytics SDK for Python provides access to LSEG Financials Analytics Services.

Getting Started

$ pip install lseg-analytics-pricing

Usage Examples

An example to create a FX Forward Curve.

from lseg_analytics.pricing.common import (
    TenorType
)

from lseg_analytics.pricing.market_data.fx_forward_curves import (
    create_from_fx_forwards,
    IndirectSourcesSwaps
)

create_from_fx_forwards(
            cross_currency="EURGBP",
            reference_currency="USD",
            sources=IndirectSourcesSwaps(base_fx_forwards="RFB"),
            additional_tenor_types=[TenorType.LONG, TenorType.END_OF_MONTH],
)

Modules Structure

• async_handler - contains models for asynchronous handling
• common - contains models that can be used in different API modules
• helpers - utility functions
• API modules
  • reference_data
    • calendars
    • floating_rate_indices
  • market_data
    • fx_forward_curves
    • commodities_curves
    • credit_curves
    • eq_volatility
    • fx_volatility
    • inflation_curves
    • interest_rate_curves
    • ipa_interest_rate_curves
    • ircaplet_volatility
    • irswaption_volatility
  • instruments
    • fx_spots
    • fx_forwards
    • bond
    • bond_future
    • cap_floor
    • cds
    • forward_rate_agreement
    • ir_swaps
    • loans
    • options
    • repo
    • structured_notes
    • structured_products
    • swaption
    • term_deposit
  • job_manager
  • templates
    • instrument_templates
  • yield_book_rest

Changelog

2.0.0

• [Breaking Change] Removed Python 3.8 support.
• [BREAKING CHANGE] Integrate with QPS API IrSwap and Loan 1.0.11810 with following changes:
  • Removed functions solve_polling and value_polling from module instruments.ir_swaps and class IrSwap, added new functions solve_result and value_result
  • Removed functions price_polling and value_polling from module instruments.loans and class Loan, added new functions price_result and value_result
• Added new module async_handler with the new async classes AsyncRequestResponse and AsyncPollingResponse that originally in the lseg-analytics-core package
• Integrate with QPS API Job Manager 1.0.11816, added new module job_manager for polling async request status
• Integrate with QPS API Floating Rate Index 1.0.11469
• Integrate with QPS API Structured Note 1.0.11162, added new module instruments.structured_notes

1.1.0

• [BREAKING CHANGE] Integrate with QPS API Instrument Templates 1.0.11376 with following breaking changes:
  • Added new mandatory property underlying_spot_date to class StirFutureDefinition in module instrument_templates
• Integrate with QPS API IrSwap and Loan 1.0.11406 to support async. The async return model will change in next release
• Added authentication examples in HTML documentation for service account, user account, user provided token and proxy server
• Added more API fundamental and workflows examples
• Added helper functions for Pandas DataFrame conversion in module helpers
  • description_to_df
  • valuation_to_df
  • risk_to_df
  • cashflows_to_df
• Fixed duplicated structured products examples in HTML documentation
• Removed unnecessary libraries in dependencies

1.0.0

• Added 4 new functions request_bond_search_async_get, request_bond_search_async_post, request_bond_search_sync_get and request_bond_search_sync_post in module yield_book_rest for Yield Book Rest APIs
• Supported sorted samples categories and sorted samples of each category for samples meta json file
• Integrated with QPS API FinancialContract 1.0.11382
• Added more fundamental and workflows samples and updated existing samples
• Package created to support QPS and Yield Book Rest only APIs based on Python SDK 2.1.0b5