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

3.0.0b3

• Integrate with PriceIt v1.2.0
• Added to_df() methods to classes below to convert the object to Pandas DataFrame:
  • IrValuationFields and its derived classes
  • FxValuation and its derived classes
  • IrRiskFields and its derived classes
  • FxAnalyticsDescription and its derived classes
  • BaseCashflow and its derived classes
  • OptionValuationFields
  • IrSwapInstrumentDescriptionFields
  • LoanInstrumentDescriptionFields
  • OptionDescriptionFields
  • StructuredNoteInstrumentDescriptionFields
  • VolatilitySurfaceResponseItem
  • InstrumentTemplateInfo
• Renamed previous Yield Book Rest samples as "Yield Book - Old" and added new Yield Book Rest samples as "Yield Book - New" using new functions like yb_***

3.0.0b2

• Integrated with IR Swap 1.0.12342 with changes below:
  • [BREAKING CHANGE] Class IrSwapAsCollectionItem in module instruments.ir_swaps is removed and replaced by IrSwapInfo
  • [BREAKING CHANGE] Return type of function search in module instruments.ir_swaps changed from list[IrSwapAsCollectionItem] to list[IrSwapInfo]
  • [BREAKING CHANGE] Existing class Cashflow is renamed to BaseCashflow and added new union type Cashflow for module instruments.ir_swaps and instruments.loans
  • Added new functions risk and risk_result in module instruments.ir_swaps and class IrSwap to support risk calculation
• Integrated with Financial Contract 1.0.12354 with changes below:
  • [BREAKING CHANGE] Property parRatePercent is removed from class BondValuation in module instruments.bond
  • [BREAKING CHANGE] Property theoreticalStrikes is removed from class VolatilitySurfaceResponseItem in modules below:
    • market_data.eq_volatility
    • market_data.fx_volatility
    • market_data.ircaplet_volatility
    • market_data.irswaption_volatility
  • Added some optional properties to classes BondCashflows, BondPricingAnalysis and BondDescription in module instruments.bond
• Added a new helper function sp_cashflows_to_df in module helpers to convert structured product cashflows to Pandas DataFrame. Updated the samples to use the helper function
• Integrate with PriceIt v1.1.0
• Added new sample Credit Default Swap - Price-It Payoff Builder with Python for Structured Products

3.0.0b1

• [BREAKING CHANGE] Function yb_calc_scenarioror renamed to yb_calc_scenario in module yield_book_rest
• [BREAKING CHANGE] Removed job-manager module
• [BREAKING CHANGE] value(payload=..., request_pattern="asyncPolling") now returns an AsyncOperation instead of AsyncRequestResponse
• [BREAKING CHANGE] Property body of class BulkJsonInputItem changed type from Optional[str] to Optional[dict[str, Any]]
• AsyncOperation provides instance methods .polling() and .result() to poll job status and retrieve the final result
• Added 26 new functions in module yield_book_rest:
  • yb_bond_search
  • yb_bulk_composite
  • yb_bulk_results
  • yb_bulk_template
  • yb_bulk_user_defined_instrument
  • yb_bulk_zip
  • yb_calc_act_vs_proj
  • yb_calc_actual_ror
  • yb_calc_cashflows
  • yb_calc_wal_sensitivity
  • yb_job_abort
  • yb_job_close
  • yb_job_create
  • yb_job_resubmit
  • yb_job_status
  • yb_job_store_csv
  • yb_job_store_json
  • yb_job_store_text
  • yb_retrieve_collateral_details
  • yb_retrieve_curve
  • yb_retrieve_hist_data
  • yb_retrieve_mbs_history
  • yb_retrieve_mortgage_model_info
  • yb_retrieve_result
  • yb_retrieve_tba_pricing
  • yb_retrieve_vol_surface
• Added optional parameter custom_extractors for functions description_to_df and templates_to_df in module helpers
• Updated docstring for some Calendar, FxSpot and FxForward classes and functions
• Integrate with PriceIt v1.0.0

2.2.0b4

• Added following two helper functions in module helpers for plotting line/bar chart and updated samples to use them:
  • plot_line_chart
  • plot_bar_chart

2.2.0b3

• Added 3 new functions in module yield_book_rest:
  • yb_retrieve_indic
  • yb_calc_py
  • yb_calc_scenarioror
• Integrate with following new versions of QPS APIs:
  • FxForwardCurve 2.0.11112
  • FxForward 2.0.11453
  • FxSpot 2.0.11453
  • Option 1.0.11441
  • Structured Note 1.0.12193
  • IrSwap 1.0.11926
  • Loan 1.0.11926
• Added following two helper functions in module helpers for plotting volatility surface and smiles and updated samples to use them:
  • plot_volatility_surface_3d
  • plot_volatility_smiles
• Integrate with PriceIt v0.4.0
• Added new LFA AI Assistant samples

2.2.0b2

• Added more workflow samples for Structured Products.
• Added/updated below helper functions for Pandas DataFrame conversion in module helpers. Updated the samples to use the helper functions.
  • valuation_to_df
  • risk_to_df
  • cashflows_to_df
  • get_nested_attr
  • sort_by_tenor
  • surface_to_df
  • templates_to_df
• Integrate with PriceIt v0.2.1
• Added x-ap-sdk-operation and changed User Agent in request headers to support Telemetry

2.2.0b1

• Support Telemetry in request headers.
• Added new module priceit for structured product payoff definitions.

2.1.0

• Added samples Inflation Swaps Valuation and Capped Floored Swaps Valuation for instruments.ir_swaps.
• Added sample Structured Notes for instruments.structured_notes.

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 from 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