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I was surprised to see that spread duration was not offered as a curve in Bloomberg. As a result, I'm trying to find a curve (in Bloomberg) or build a curve (maybe using the Excel API) which graphically illustrates DTS and OAS Spread Duration by tenor for the same issuer (or by sector) for either all or some a subset of issues.

Is there anything I'm missing or perhaps a canned report that someone knows of which can do this? Is this really as simple as using the Excel API to retrieve the DTS & OAS Spread Duration fields?

thanks

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  • $\begingroup$ Could you please define what you mean with „duration curve“? Are you referring to a spread (curve) of an issuer with respect to some basis curve, e.g. spread over treasury or spread over sector? $\endgroup$ Commented Jul 28, 2021 at 16:36
  • $\begingroup$ Sure. For an issuers set of bonds available, use the tenor or OAD of those bonds as the x-axis and spread duration of those bonds for the y-axis. Similarly for DTS, x-axis would be also tenor or OAD, and DTS would be the y-axis measure. $\endgroup$
    – mogwai
    Commented Jul 28, 2021 at 17:06

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Answering my own question many years later. There is no way to plot the term structure of spread duration in BBG. The best I was able to accomplish is, for a specific sector, use a selection of bonds from the FIW page or from a list of my holdings and retreive spread duration using the API and plot from there.

Not ideal but subsequently also not very useful, as a term structure of spread duration didn't really add any value to our analysis. Spread duration comes part and parcel with other factors that we look at and isolating it on it's own wasn't useful in a broader sense.

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