Bloomberg L.P. is a privately held financial software, data and media company headquartered in New York City.

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35 views

Constructing yield curve directly from yield-to-maturity data

I'm trying to use Bloomberg yield-to-maturity data for sets of sovereign bonds of different maturities to fit to a yield curve. I looked into using the QuantLib library (the FittedBondCurve ...
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34 views

Find/Identify historical bonds in Bloomberg/Datastream via stock ISIN,CUSIP,SEDOL

I have several thousand company identifyers and one historical event date for each company for an event study. My problem is that I want to get all bonds which were active at this individual date for ...
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32 views

Rblpapi-Getting different numbers than Bloomberg

I used the following code to pull day to day total returns (net dividends) from Bloomberg Terminal for a list of securities I have. When I compare my data using the GF function in Bloomberg, I am ...
3
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1answer
171 views

What is the benefit of having proximity to the Bloomberg datacenter?

I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ...
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44 views

Does OpenFIGI have precanned files?

From what I understand, Bloomberg Open Symbology is now transitioning to OpenFigi: http://bsym.bloomberg.com/sym/ "BSYM.bloomberg.com will be SHUT-OFF on June 1st. It is being replaced by ...
4
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1answer
48 views

What approaches are there for keeping local and remote order books in sync?

Scenario: developing a custom application which defines a structured workflow for manual order submission to Bloomberg EMSX; it should minimize own persisted state and rely on the remote order book as ...
2
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2answers
49 views

Creating index from bloomberg data in matlab

I'v got 6 different equity index time series from which I want to create an index based on a particular percentage. This would be simple although due to different holidays the date don't always match. ...
2
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2answers
192 views

How to get historical fundamental data in Bloomberg suitable for backtesting?

I'm trying to retrieve historical stocks fundamental data from Bloomberg to backtest some quant ideas. I'm having trouble to find the correct point in time the data was available. For instance, the ...
5
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1answer
124 views

Bloomberg & R: Accessing multiple securities with getBars() in R

I am attempting to access 1 minute trade data for 50 securities using Bloomberg API (rblpapi). Following is the code I got from the CRAN: ...
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0answers
231 views

Bloomberg Currency Exchange Rate Data (London and New York)

I'm new to Bloomberg terminals (a paper I'm reading uses data from a terminal - my first exposure) and I'm having trouble figuring out how to download a few different time series: (1) daily closing ...
3
votes
1answer
166 views

Bloomberg, downloading data in Excel

My company has Bloomberg terminal, but ive heard I shouldnt import any batch of data into Excel using BLP plugin, because it is pricey. They told me that some time ago somebody did this and they paid $...
1
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1answer
90 views

Template for Bloomberg terminal [closed]

I'm working on my master's thesis and I need to extract data from the Bloomberg Terminal. I'm rather inexperienced when it comes to using the Terminals many features. The data I need is for the ...
3
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1answer
39 views

Subscribe to iNav changes via ETF_INAV_VALUE key

I'm using the Bloomberg API to subscribe to market data changes. While I manage to retrieve fields such as OPT_GAMMA_MID_RT or ...
5
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1answer
63 views

Equivalency of FX forwards and FX fixed for fixed swaps? Are they still the same under multiple curves environment?

I am encountering two approaches for valuation of FX swaps (fixed for fixed, e.g. fixed USD payments for fixed EUR payments) which seem to result into different values although in theory they should ...
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0answers
213 views

Historical volatility on bloomberg API

Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be enough....
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62 views

Rblpapi millisecond resolution

I'm using Rblapi to get tick data, using the nice getTicks function. Much to my dismay the index is rounded to the second, while milliseconds time stamp could be provided. Tried returnsAs xts, fts(?) ...
2
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1answer
250 views

How to download efficiently intraday data with Bloomberg API?

I'm downloading intraday bar data using Bloomberg API and C#. I have adapted the official Bloomberg c# "IntradayBarExample” to suit my needs. However downloads are really slow, I found this post ...
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1answer
189 views

Rblpapi / bdh - how to download prices for all weekdays - regardless if it is a bank holiday

Using bdh(), I am trying to download historic weekday prices regardless if the weekday is a holiday or not. The default does not return weekday bank holidays. The ...
3
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1answer
356 views

Bloomberg data redistribution policy

I've looked through the Bloomberg website, but haven't found any information about available license plans. I'm curious whether it provides any license that allows you to re-distribute data requested ...
2
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1answer
70 views

Historical index components (FIGIs) from bloomberg?

In order to run strategy simulations, I am trying to build a database of historical equity data using Bloomberg. I can pull the ticker symbols corresponding to the components of an index at any point ...
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52 views

Returning historical yield rates for Mortgage Backed Securities in a Bloomberg Terminal?

Forgive me if this isn't the right place, and direct me to the correct place to post. I've been trying to figure out how to get the yield rates for Mortgage Backed Securities (MBS's) in the United ...
2
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1answer
138 views

Bloomberg Python Question - How do you access PRTU via python?

I am having some trouble using python to access Bloomberg as I cant find much documentation. All I really need to do is a simple lookup of dates in the PRTU function of Bloomberg, PRTU via a python ...
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2answers
71 views

Handling upcoming corporate actions for equity portfolio

I have an equity statarb strategy developed using CRSP daily data. The strategy is always invested (long or short) in around 400 stocks. The ...
3
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2answers
384 views

How to calculate conversion parity for convertible bond?

Can someone explain how can I calculate the parity of this convertible bond? I know the formula is Current price of common stock x Conversion Ratio, but it doesn't seem to be right in this picture.
4
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1answer
106 views

Vendor data aggregation for Options on Futures

Have anyone managed to automate data consolidation between Reuters and Bloomberg for Options on Futures? Are there any common attributes that these vendors share in this particular asset class that ...
2
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1answer
24 views

Source of market or security attribute information?

There are many securities and exchanges on platforms like Bloomberg and Quandl, but many securities are described with the relevant pit close times and pit open times, exchanges, related futures, and ...
4
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2answers
166 views

Bloomberg implied volatility smile for equities

I was wondering if someone knows how Bloomberg does their computations for the implied volatility smile for equities. As far as I understand, they use a lognormal mixture to model the stock prices. ...
4
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3answers
560 views

How do I calculate approximate equity liquidity?

I am a developer rather than a quant. I need to decide whether a given equity passes some basic liquidity threshold. It doesn't have to be precise, just good enough. I have a Bloomberg terminal data ...
4
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1answer
206 views

Why does Bloomberg's HRH test the simple returns for normality?

On a Bloomberg terminal, it is possible to use the HRH (Historical Return Histogram) function on individual assets. It basically generates a histogram of the (simple) returns and overlays them with a ...
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0answers
114 views

Can you tell me what this RBloomberg formula means?

I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
5
votes
1answer
170 views

Is there a Bloomberg field for the first trading date after an event?

For example, if a company reports earnings today after the close (6/24), the earnings date would be 6/24 but the field I'm looking for would be 6/25. If they reported tomorrow before the open, both ...
3
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1answer
98 views

Export security description data from bloomberg into excel

I have the cusip of about 300 bonds. I want to retrieve the security description from bloomberg and then export it into excel. Does anyone have any tips as to how to accomplish this?
3
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0answers
339 views

Bloomberg scripting language (BLAN)

Did anyone work with Bloomberg scripting language (BLAN is the name I guess). If so is it really flexible and is it competitive with other valuation services (say Super Derivatives). Does it enable ...
2
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2answers
695 views

Bloomberg tick data timezone offset

I am using python to access the Bloomberg Desktop API and am running into issues with the timezone conversion for their tick data. The data they deliver is supposed to be UTC but there is something ...
1
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1answer
175 views

Discount Curve built-up

For a particular currency, let's say for USD, I'd like to know how to construct a discount curve? I've an impression that one professor told me that for USD, less than 3 months, it's using Libor ...
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2answers
185 views

How do I find the entity identifier using BSYM?

I am new to BSYM and would like to do an entity-level search (as described here (towards bottom of document). For instance, a search for "APPLE INC" brings up 266 pages. Which one is for the entity? ...
4
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1answer
2k views

Difference between the two Bloomberg codes

Bloomberg always have two codes for the same instruments. For example, for Apple, Bloomberg has AAPL US and AAPL UW. I am wondering what is the difference between these two codes? As far as I can ...
5
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2answers
5k views

Market Data Sources Bloomberg Vs Reuter

In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
2
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3answers
520 views

Deposit vs. LIBOR rates? (Bloomberg/SuperDerivatives)

I noticed that Bloomberg and SuperDerivatives both use "Deposit Rates" for the calculation of forward points for currencies. I couldn't find anything online that describes precisely where these rates ...
1
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1answer
989 views

Bloomberg equity option volatility data

Using the Bloomberg open API, I am trying to program a C++ script that is able to download option volatility data from Bloomberg. I currently do not have access to Bloomberg, but in the coming week I ...
2
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0answers
305 views

what is the definition of resetting tenor and time to maturity tenor in libor rates

I have a question about the definition and understanding of libor rates. We have the time to maturity tenor, $T$, which is the time over which i borrow or lend money. For libor we also have the reset ...
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1answer
126 views

How to download intraday data regarding a particular stock exchange from bloomberg at one time

Good day I would like to know how to download the intraday data regarding a particular stick exchange at one time, (I need to analyse all the equities listed on it) Second I need to verify that my ...
1
vote
2answers
3k views

Bloomberg Libor Rates

I load swap rates data from Bloomberg in excel using the command =BDH(Ticker,"Px Last",Start_Date,End_Date,"Dts",FALSE) The tickers I use are "USSW1 Curncy", "...
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0answers
418 views

Get: Historic S&P500 Market Cap

I need the market cap of the S&P500 components on 2.6.2013. It should be easily downloadable via Bloomberg, but I dont have this databank. E.g. you could use ...
4
votes
1answer
277 views

Obtaining logical lists of Bloomberg security codes in Excel

I am using Bloomberg's BDP and BDH functions in excel to retrieve data for a set of options. The problem is that (as underlying prices move and expiration dates come and go) option strikes are ...
2
votes
3answers
657 views

Bloomberg-alternatives for intraday stock price data?

Given the limitation Bloomberg imposes in terms of the number of days you can go into the past when retrieving historical intraday data, what are similarly reliable alternative solutions? I require ...
2
votes
2answers
6k views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
0
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1answer
81 views

finding the strike / maturity of warrants given their ISINs

I have a list of French traded warrants identified by their ISINs. I do not know, however, to which stock they refer and what is their strike/maturity. Which datasets allow me to retrieve this ...
2
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0answers
853 views

How to compute for basis adjusted forward rate?

To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
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0answers
806 views

Exporting Time Series Data For Securities Prices From Bloomberg to Excel

I have a list of securities over a thousand entries long that I want to construct a time series of prices for over a specified historical period (e.g. 2/01/10-2/20/10). Doing this manually would take ...