Derivitec API Functions

To get started, connect to the dev environment.

>>> from derivitec import DerivitecClient, dev
>>> client = DerivitecClient(dev)
>>> client.connect()
12/12/2017 04:21:56 PM DerivitecClient connected.

Now the client is connected we can send a request.

>>> client.get_available_currency_isos()
[u'AUD', u'CHF', u'EUR', u'GBP', u'JPY', u'SEK', u'USD', u'HKD', u'TWD', u'SGD']

Alternatively you can connect via:

>>> from derivitec import conn
>>> conn.connect(dev)
12/12/2017 04:22:40 PM DerivitecClient connected.

Doing this sets the client variable in the conn module.

What follows is a reference of all API calls currently exposed with example usage.

add_business_days(calendar, dt, days)	Add business days.
add_request(request_name, request_class[, ...])	Add a request to the client.
adjust_business_day(calendar, dt, bdc)	Adjust a date to a business day using a calendar and business day convention.
bond_futures_prices_from_repo_rates(...[, ...])	Get the implied futures prices of bonds, given a bond future and repo rates.
calculate_historical_price_series_on_contracts(...)	Calculate historical price series on a set of contracts.
calculate_risk_on_contracts(contracts, ...)	Calculate risk on a set of contracts.
calculate_risk_on_portfolio(portfolio_name, ...)	Calculate risk on a portfolio.
calculate_risk_on_tradables(tradable_ids, ...)	Calculate risk on a set of tradable ids.
connect()
create_books(create_book_requests)	Create books.
delete_borrow_curves(identifiers, ...)	Delete borrow curves.
delete_equity_vol_surfaces(identifiers, ...)	Delete equity vol surfaces.
delete_index_component_data(identifiers, ...)	Delete index compenent data.
delete_projected_dividends(identifiers, ...)	Delete projected dividends.
fit_bond_yield_curves_to_bond_data(data[, ...])	Fit bond yield curves to bond data.
fit_equity_vol_surfaces_to_convertible_bond_data(...)	Fit equity vol surfaces to convertible bond data.
futures_price(contracts, reporting_currency)	Get the futures price of contracts for a market data date and pricing date or for some predefined market data.
get_active_user_portfolios()	Get active user portfolio
get_auth_details()
get_auth_details_from_site()
get_available_currency_isos()	Get available currencies
get_available_risk_reports()	Get available risk reports.
get_blackscholes_implied_vol(spot, forward, ...)	Get Black Scholes implied vol for european option
get_bond_data(identifiers, start_date, end_date)	Get bond data.
get_bond_futures(identifiers)	Get bond futures.
get_bond_futures_series(futures_prefix, ...)	Get a bond futures data time series for a given futures prefix and a specified offset to the expiry between two dates.
get_bond_infos(identifiers)	Get bond info.
get_bond_yield_curve_maturity_buckets(...[, ...])	Get bond yield curve maturity buckets constituents.
get_bond_yield_curves(bond_yield_curve_ids, ...)	Get bond yield curves.
get_bonds(identifiers)	Get bonds.
get_borrow_curves(identifiers, market_date)	Get borrow curves.
get_borrow_curves_for_env(market_date[, ...])	Get borrow curves for env.
get_calendars(calendars)	Get calendars
get_cash_flows(contracts, mkt_data_date, ...)	Get cash flows for a bond between two dates.
get_cds_data(identifiers, start_date, end_date)	Get cds data.
get_cmdty_futures(identifiers)	Get commodity futures.
get_cmdty_futures_data(identifiers, ...[, ...])	Get cmdty futures data for some identifiers between two dates.
get_cmdty_vol_surfaces(commodity_ids, ...[, ...])	Get commodity vol surfaces.
get_commodities(commodity_ids, descriptors, ...)	Get commodities
get_contracts_from_client_tradable_id(...[, ...])	Get contracts from a portfolio
get_contracts_from_portfolio(portfolio_name, ...)	Get contracts from a portfolio
get_contracts_from_tradable_ids(tradable_ids)	Get contracts from a list of tradable ids.
get_convenience_yield(curve, start_mat, end_mats)	Get the convenience yield.
get_convertible_bonds(identifiers[, ...])	Get convertible bonds for some identifier.
get_convertible_bonds_grid_pricer_details(...)	Get convertible bonds for some identifier.
get_coupons(bond, mkt_data_date, ...)	Get bounds for a bond between two dates.
get_credit_swaption_vol_cube_data(...[, ...])	Get credit swaption vol cube data for credit index and optional flags.
get_crypto_coin_data(codes, start_date, end_date)	Get crypto coin data for some crypto currencies between two dates.
get_date_coupon_map(bond, mkt_data, ...[, ...])	Get a map of dates to coupons for a bond.
get_discount_curves([currencies, ...])	Get discount curves for some currencies and market dates.
get_discount_factors(curve, start_mat, end_mats)	Get discount factors from a curve.
get_dividend_curve(identifier, market_date)	Get dividend curve data for an given equity, provider and market date.
get_dividend_index_fixings(...[, ...])	Get dividend index fixings for some identifiers between two dates.
get_dividend_index_vol_surfaces([...])	Get dividend index vol surfaces.
get_eq_futures(identifiers)	Get equity futures.
get_eq_vol_of_var_curves(identifiers, ...[, ...])	Download vol-of-variance nodes using the pricing environment fallback.
get_equities(identifiers, descriptors, ...)	Get equities.
get_equity_equity_correlation_data(...[, ...])	Get equity-equity correlation data.
get_equity_forwards(identifier, market_date)	Get equity forwards
get_equity_fx_correlation_data(...[, ...])	Get equity-fx correlation data.
get_equity_vol_grid(vol_surface, maturities, ...)	Get equity vol grid from a vol surface
get_equity_vol_index_vol_surfaces(...[, ...])	Get equity vol index vol surfaces.
get_equity_vol_index_vols(identifier, ...[, ...])	Get equity vol index vol surface vols between two dates.
get_equity_vol_surfaces(identifiers, ...[, ...])	Get equity vol surfaces.
get_equity_vol_surfaces_for_env(market_date)	Get equity vol surfaces for env.
get_equity_vols(identifier, strike_type, ...)	Get equity vol surface vols between two dates.
get_etf_premiums(identifiers, start_date, ...)	Get ETF premiums for some identifiers between two dates.
get_flattened_contracts_from_tradable_ids(...)	Get contracts from a list of tradable ids.
get_flattened_convertible_bonds(identifiers)	Get convertible bonds for some identifier.
get_forward(underlyer, expiries)	Get forward of an asset at a set of expiries.
get_fx_crosses(fx_pairs, market_dates, ...)	Get FX crosses.
get_fx_data(fx_pairs, start_date, end_date)	Get FX data for some FX pairs between two dates.
get_fx_futures(identifiers)	Get fx futures.
get_fx_vol_surfaces(fx_pairs, market_dates)	Get FX vol surfaces.
get_index_component_data(identifiers, ...[, ...])	Get index compenent data.
get_index_component_data_for_env(market_date)	Get index compenent data for env.
get_ir_bump_mkt_data(bumps, mkt_data_container)	Get back a new market data container with interest rate bumps applied.
get_ir_futures(identifiers[, as_of_date])	Get ir futures.
get_mkt_data(contracts[, pricing_date, ...])	Gets a market data container required for pricing a list of contracts.
get_pnl_report_infos([portfolio_names, ...])	Get pnl report infos
get_pnl_report_meta_data([report_id])	Get pnl report meta data
get_pnl_reports_data_by_id([report_ids])	Get var report data by report ids.
get_portfolio_table(portfolio_name, ...[, ...])	Get portfolio table for the specified portfolio.
get_pricing_details(contract, pricing_date, ...)	Get pricing details from a contract
get_pricing_details_for_contracts(contracts, ...)	Get pricing details from a contract
get_projected_dividends_for_env(market_date)	Get projected dividends for env.
get_report_data_by_id(report_id[, ...])	Get report data by report id.
get_report_excel_export(report_id, file_name)	Get the report excel export from its id.
get_report_infos(report_name, ...[, ...])	Get report infos.
get_report_result(id)	Get the report result from its id.
get_risk_report_meta_data([report_id])	Get risk report metadata
get_spider_rock_vol_data(market_date[, ...])	Get spider rock vol data.
get_stock_data(identifiers, start_date, end_date)	Get stock data for some identifiers between two dates.
get_stock_info(identifiers[, ...])	Get stock info for some identifiers.
get_swaption_vol_cube_data(rate_asset_name, ...)	Get swaption vol cube data for rate asset and optional flags.
get_time_series(series_name, filter, ...)	Get a time series.
get_tradable_ids_from_contracts(contracts, ...)	Get tradable ids from a list of a contracts as of a given date.
get_tradable_ids_from_portfolio(...[, ...])	Get tradable ids from portfolio as of a date time.
get_transaction_table(portfolio_name, ...[, ...])	Get portfolio table for the specified portfolio.
get_var_report_data_by_id(report_id)	Get var report data by report id.
get_var_report_infos([portfolio_name, ...])	Get report infos.
get_var_report_status_by_id(report_id)	Get var report status by report id.
get_var_report_time_series_data_by_id(report_id)	Get var report time series data by report id.
get_var_reports_data_by_id([report_ids, ...])	Get var report data by report ids.
get_vol(surface, maturity, strikes, strike_type)	Get vol from a volatility surface at a fixed maturity for a set of strikes.
legacy_position_upload(positions[, ...])	Legacy Position upload.
login_with_cognito()	Login using the security token to get an access token.
position_upload(positions)	Position upload.
price(contracts, reporting_currency[, ...])	Get the prices of contracts for a market data date and pricing date or for some predefined market data.
run_report(report_name, portfolio_name, ...)	Trigger a report run.
run_risk_report(report_name, portfolio_name, ...)	Trigger a report run.
run_var_report(portfolio_name, ...[, ...])	Trigger a var report run.
upload_amortisation_rates(amortisation_rate_data)	Upload amortisation rate data.
upload_bond_infos(bond_infos[, ...])	Upload bond infos.
upload_bond_issuer_credit_spreads([...])	UploadBondIssuerCreditSpreads.
upload_bond_price_data(bond_data, ...[, ...])	Upload bond price data.
upload_bond_yield_curves(bond_yield_curves)	Upload bond yield curves.
upload_borrow_curves([...])	Upload borrow curves.
upload_cmdty_futures_data(cmdty_futures_data)	Upload Cmdty futures data
upload_credit_swaption_vol_cube_data(...[, ...])	Upload credit swaption vol cube data.
upload_discount_curves(discount_curves[, ...])	Upload discount curves.
upload_dividend_index_fixings(...[, ...])	Upload stock data
upload_dividend_index_vol_surfaces(vol_surfaces)	Upload dividend index vol surfaces.
upload_entity_custom_data(...[, ...])	Upload entity custom data.
upload_eq_vol_of_var_curves(eq_vol_of_var_curves)	Upload equity volatility-of-variance curves for analytic vol swaps.
upload_equity_dividend_correlation_data(...)	Upload equity-dividend correlation data.
upload_equity_equity_correlation_data(...[, ...])	Upload equity-equity correlation data.
upload_equity_fx_correlation_data(...[, ...])	Upload equity-fx correlation data.
upload_equity_ir_correlation_data(...[, ...])	Upload equity ir correlation data.
upload_equity_vol_curves(equity_vol_curves, ...)	Upload equity vol curves.
upload_equity_vol_grids(equity_vol_grids, ...)	Upload equity vol grids.
upload_equity_vol_surfaces(vol_surfaces[, ...])	Upload equity vol surfaces.
upload_etf_premiums(etf_premiums[, ...])	Upload ETF premiums
upload_fx_ir_correlation_data(...[, ...])	Upload fx ir correlation data.
upload_fx_vol_grids(fx_vol_grids, ...[, ...])	Upload fx vol grids.
upload_index_component_data(...[, ...])	Upload index component data.
upload_probability_of_default(...[, ...])	Upload probability of default data.
upload_projected_dividends(dividends, ...[, ...])	Upload projected dividends.
upload_rate_assets(rate_assets[, ...])	Upload rate assets.
upload_recovery_rates(recovery_rate_data[, ...])	Upload recovery of default data.
upload_stock_data(stock_data[, ...])	Upload stock data
upload_survival_curves(survival_curves[, ...])	Upload survival curves.
upload_vol_surface_spot_model_definitions(...)	Upload a batch of beta-adjusted ATMF spot model definitions.