derivitec.core.client.DerivitecClient.get_borrow_curves

DerivitecClient.get_borrow_curves(identifiers, market_date, return_forward_rates=True, market_data_environment_name=None)[source]

Get borrow curves.

Parameters:

  • identifiers (list of derivitec.misc.types.InstrumentIdentifier) – The borrow curves by identifiers

  • market_date (datetime.datetime) – The market date

  • return_forward_rates (bool) – The return forward rates flag (otherwise returns zero rates)

  • market_data_environment_name (str) – The market data environment name (optional with default Organisation Level Environment)

Return type:

derivitec.market_data.response.ApiGetBorrowCurvesDataResponse

Code

>>> identifiers = [ric('MSFT.OQ')]
>>> market_date = datetime(2020, 4, 11)
>>> return_forward_rates = False
>>> market_data_environment_name = "Example Market Data Environment"
>>> client.get_borrow_curve_data(identifiers, market_date, return_forward_rates, market_data_environment_name)