We managed to use
https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts
to calculate our FX Turns. And we noticed that there were significant differences between “MonthEnd” and “QuarterEnd”.
Was MonthEnd and QuarterEnd calculated differently? If so, can you tell us the difference?
We using data like this:
Underlying
StartDate
EndDate
AUD/USD
2/26/2021
3/1/2021
For each row in the above data, we only populated the “instrumentDefinition” and “endDate” and “valuationDate”, for example, this is the data that we sent to that URL:
{
"fields": [
"FxCrossCode",
"EndDate",
"FxOutrightCcy1Ccy2"
],
"universe":[
{
"instrumentDefinition": {
"instrumentTag": "00102700008910C",
"fxCrossType": "FxForward",
"fxCrossCode": "AUDUSD",
"legs": [
{
"endDate":"2021-02-26T00:00:00Z"
}
]
},
"pricingParameters": {
"valuationDate": "2021-01-22T00:00:00Z",
"priceSide": "Mid"
},
"instrumentType": "FxCross"
},
{
"instrumentDefinition": {
"instrumentTag": "00102700008910C",
"fxCrossType": "FxForward",
"fxCrossCode": "AUDUSD",
"legs": [
{
"endDate":"2021-03-01T00:00:00Z"
}
]
},
"pricingParameters": {
"valuationDate": "2021-01-22T00:00:00Z",
"priceSide": "Mid"
},
"instrumentType": "FxCross"
}
],
"outputs": [
"Data",
"Headers"
]
}
Then we took the “FxOutrightCcy1Ccy2” from the return response and subtracted them to get our Fx Turns. For example, if we got this return:
{
"headers": [
{
"type": "String",
"name": "FxCrossCode"
},
{
"type": "DateTime",
"name": "EndDate"
},
{
"type": "Float",
"name": "FxOutrightCcy1Ccy2"
}
],
"data": [
[
"AUDUSD",
"2021-02-26T00:00:00Z",
0.77371
],
[
"AUDUSD",
"2021-03-01T00:00:00Z",
0.77372214516129
],
]}
We took (0.77372214516129 - 0.77371) times a scaling factor.
We found that we had very different values for QuarterEnd (MonthEnd was fine).
