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Questions tagged [bloomberg]

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

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What are some examples of benchmarks describing the various types of agricultural commodities?

I would like to analyze the correlation between the historical series of various agricultural commodities but looking at the Bloomberg platform I do not know which codes to refer to in order to carry ...
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32 views

What are the titles that show the most generic spot prices of commodities?

In other words, if you want to analyze the different commodity sectors, what are the titles that best describe the spot price? For example, from the Bloomberg database, I downloaded the following time ...
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41 views

Bloomberg terminal swap zero curve calculation - AUD 3M BANK BILLS

This is a similar post to a this post, but for AUD swaps (3M Bank Bills) - ICVS303. The AUD 3M curve is a little more complicated as it also has 3M futures and compounds quarterly. the first df and ...
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1answer
95 views

Vol surface from Bloomberg API

Can someone tell me if it's possible to retrieve vol surface for different underlyings through the Bloomberg Open API (or else) for free or almost ? I precise that I have a BBG terminal so I have an ...
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1answer
86 views

Bloomberg's Open Market Data Initiative

I am reading about OMDI: https://www.bloomberg.com/company/announcements/bloomberg-opens-its-data-distribution-technology/ After reading that, I am still not sure: Is it free? If so, what kind of ...
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1answer
42 views

CNY IRS Fixed Vs 3 Month SHIBOR. Can any one please confirm the curve practices ?

AM trying to match CNY Swap Curve with Bloomberg. Yields unto 9 months can be converted to dfs using 1/(1+rt), where t = Actual Number of Days / 360. One year and boot strapping method was used with ...
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1answer
96 views

Using Bloomberg API on Excel to find a stock ticker change/acquisition

I am wondering if there is a way in Excel, using Bloomberg API, to find if tickers have changed or acquired by other firms. For example, given these values, ...
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1answer
41 views

Why is the number of accrued days equal to one on coupon dates for NL/365?

Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count. Bond example: ...
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1answer
53 views

How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...
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1answer
326 views

Bootstrap daily OIS forward rate

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap? For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
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82 views

Bloomberg OAS model

What interest rate stochastic model does bloomberg use to construct the interest rate trees for the calculation of bond OAS. If the model used is lognormal, then how is the volatility calibrated for ...
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90 views

Chat bot for traders [closed]

In the framework of my internship at a bank, I want to write a chat bot program in Python that allows our bond traders via their Bloomberg terminal chat box application to type in structured command ...
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48 views

OHLC inconsistencies in bloomberg

This may be clear to a practitioner, but consider the following rows of OHLC points: 55.20 56.50 55.35 55.45 (low > open) 53.30 53.30 53.20 53.325 (close > high) These are taken from ...
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1answer
141 views

(Bloomberg) BDP Formula question [closed]

Good Morning, I am using the below formula and need some help, how do I change the below strike price (400) to pull from a separate cell (T2) I have on the spreadsheet? ...
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1answer
2k views

Bloomberg formula for bond total return

Do you know a bloomberg excel formula to retrieve the dayly total return of a bond over a period? By total return I mean : (change in price + coupon)/initial price Same as for a stock but with ...
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1answer
54 views

bds with field in R returning error

I am using Rblpapi and trying to query the following: bds("FN1 Comdty","FUT_CHAIN", overrides = "CHAIN_DATE=20170101") However, I am getting the following error:...
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2answers
749 views

How to download bloomberg intraday data efficiently with API

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...
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43 views

CDS Spread sensitivity

I am computing HVaR for corporate bonds using CDS spread to approach credit risk. I have data on cds spread for different maturities along the bond life and I need the sensitivity to spread change for ...
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2answers
465 views

Bloomberg APIv3 Get reference data overrides

I have an Excel function that I want to move into Python. The BDP function is: =BDP("IBM US Equity","BEST_EBITDA","BEST_FPERIOD_OVERRIDE","1FY") ...
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0answers
307 views

Bloomberg zero rate calculation using shift

I used Bloomberg to calculate a zero rate under a parallel shift of 100 basis points, however I can not understand the results neather duplicate them. I included the +100 basis points by using the ...
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110 views

Bloomberg Event Driven Feeds

Anyone using Bloomberg's Event Driven Feeds and can confirm the pricing and technical interface? I assume this is not attached to the Bloomberg Terminal product?
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1answer
580 views

Generic bond yields

I was looking on historical sovereign bond yields for a project. I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but ...
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1answer
494 views

Pulling portfolio from bloomberg

I am not sure wether I should post this question here or on stack overflow, but I'll give it a shot anyway. I am trying to get my portfolio from PORT in bloomberg. Basically I am trying to automate a ...
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265 views

bloomberg api: how to handle the max 1000 requests limit

I am using the Bloomberg API in R (package Rblpapi) to find the nearby price at elevator locations for Soybean/Corn in given states in the US. I use the function lookupSecurity: ...
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1answer
382 views

Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the ...
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2answers
2k views

Getting Index constituents along with returns from Bloomberg

I am interested in getting constituents of an index along with individual stock returns on a 1m,1y, 5y basis through bloomberg terminal as well as through api. Do we have a single command which can ...
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71 views

Sovereign bond CDS data

Does anyone know where I can download from historical data for sovereign bond CDS (credit default swaps) rates? preferebly free?
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1answer
639 views

How is Bloomberg's fixed-equivalent yield on a floater calculated?

What is fixed-equivalent yield and how is it derived? Thanks!
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1answer
2k views

What is the EUR swap curve on Bloomberg? I.e. what is the EUR equivalent of S23 curve on Bloomberg?

I am trying to understand the currency basis calculation and whether there is a difference in currency basis when quoted vs. OIS and -IBOR rates.
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2answers
384 views

Database of ETF and underlying index from Thomson Reuters or Bloomberg

I want to generate a table of ETFs listed in the US and declared benchmarks. The idea is that I want to have the possibility to use the benchmark as a proxy of the ETF to run longer backtests when ...
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0answers
40 views

BSE India best data source for foreigners (Bloomberg terminal?)

I'm looking for a best possible data source for BSE India realtime L2 data (at least 5 levels of book) equities only (F&O welcome, but not needed). I have an access to bloomberg terminal, have ...
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1answer
7k views

Price at Specific Time from Bloomberg

I have a file where I easily export real-time prices to excel using the Bloomberg Add-In, using the formula BDP. Is there a way to get these prices of a specific time? For example, =BDP("EURGBP ...
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1answer
352 views

Instantaneous Forward Rate from Bloomberg

I am calibrating the Hull-White model which involves finding the level of mean-reversion from the market instantaneous forward rate? Is the market instantaneous forward rate directly available from ...
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53 views

Which financial database has the most extensive coverage of person-level data and uses person-level identifiers

For some empirical research, I need to retrieve data relating to the board members of companies corresponding to all securities in a major index. The data points I am looking for include gender, ...
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298 views

Extracting continuous futures prices on different dates with the ratio adjustment

I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings. For instance, to extract the first/forward generic ...
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43 views

How to retrieve list of names of board members for a given ticker from Bloomberg Professional

I would like to investigate some data on individual board members in a systematic way. I have a Bloomberg Terminal at my disposal, which I would like to use for this. In a first step, I need to ...
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2answers
3k views

EUR Implied Forward Rate from Bloomberg

does anyone know about the EUR Forward Implied 3 Month Rate published by Bloomberg on the Bloomberg Page EURI3M ? First question: this is the rate from a forward curved, forward curve being ...
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123 views

What does it mean for an instrument to be delisted and have it's common id changed on the same day?

I am building a program that tracks securities over time and I am using Bloomberg Back Office as my raw data input. I have run into the case, several times now, where a given security will have the "...
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1answer
2k views

What are Generic government treasury bonds? (Bloomberg terminal)

I have a project at school were we are supposed to find the generic series for US treasury bonds, and then download daily data for 3 years. I have found the bb ticker, but i don't understand the ...
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3answers
600 views

Alternative to Bloomberg Excel Add-In for EOD Stock Prices

Is there a more cost-effective alternative to Bloomberg Excel Add-In? 90% of the time I only use Bloomberg to download security (hundreds of U.S. and international stocks) historical price data. The ...
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405 views

Commodity index member weights (historical) for S&P GSCI and BCOM

Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index? My institution provides access to ...
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889 views

Tick data costs via Bloomberg Data License

Can anyone tell me if Bloomberg charges non-real time data for a ticker on per tick basis or is it a flat fee per ticker/month? For example, will it matter if I snap all ticks of a BBG for a day or ...
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1answer
316 views

Does Bloomberg Terminal have access to CRSP “permno”s, Compustat GVKEYs?

CRSP has a nice, permanent identifier system for securities known as "permno"s. I don't have access to a Bloomberg terminal, but am considering the investment. Does the Bloomberg terminal know these ...
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1answer
546 views

How does Bloomberg arrive at stub rate for swaps/floaters?

I'm trying to interpolate initial stub rate ( 'Index to' in the image ) for the following FRN pricing example. Fixes on 2016/11/30 1m : 0.623670 2m : 0.742500 3m : 0.93417 Please be as specific as ...
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1answer
455 views

Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?

can anybody tell me which models Bloomberg and Reuters ares using to derive implied volatility for interest derivatives with negative forward rates? I know that Black-76 is the standard model, and ...
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1answer
279 views

Bond characteristics using Bloomberg in Excel

I would like to retrieve bond characteristics (bond type, coupon type etc.) for corporate bond ISINs using the Bloomberg Excel Addin. I tried ...
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0answers
3k views

BBG WIRP Probability Calculation

Bloomberg has an app (WIRP) that shows you the implied probability of interest rate hike in OIS swaps. How it is calculated?
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1answer
134 views

How to Pull Dump of Old News Articles

My goal is to run a keyword search for phrases like "soybean acreage" or "corn yields" (keywords limited to ag. commodities), and construct a timeline of which dates articles with these key words are ...
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2answers
257 views

Extract Corporate Bond volume

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...
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1answer
263 views

Where can I find historical daily term repo data?

DTCC appears to provide historical o/n repo data for US Treasuries but does not do so for term repo data. If I want to analyze the term repo curve, where would I be able to find historical term repo ...