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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43 views

How to connect Bloomberg's xbbp api to “Bloomberg Anywhere”

Due to COVID's remote work situation I found myself unable to access my physical terminal so I've had to use bloomberg anywhere (bba), the issue I'm having is that when I try to use python's xbbg on ...
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39 views

Why Bloomberg USD swap curve (YCSW0023 Index) changes last month?? and why put a Financial commodity future into this curve?

The Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future. Why changes? What the factor make this changes? Why bloomberg put into a financial commodity ...
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55 views

Download data from Bloomberg with R

I was trying to download daily data from a few tickers from Bloomberg with Rblpapi. I wanted all calendar data, not just trading days, but, when I put these options,...
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2answers
72 views

Bloomberg European equities tickers

I am trying to understand the abbreviations in the Bloomberg European stock or STOXX data. Each ticker represents company name abbreviation - Listed exchange. For example, CSP - LN is Countryside ...
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3answers
268 views

Python libraries for bloomberg?

I am very new with python, and I am used to work with bloomberg formulas for excel. I am starting to use a lot more python in my analysis, is there any library that performs same functions as bdp, bdh ...
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57 views

How to use quantlib Excel for valuation of european swaption with vol surface to calibrate?

I would like to replicate the following Bloomberg pricer in quantlib using Quantlib xl. Is it possible? Thanks
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26 views

Extract Accrued Interest in R using Bdlpapi package

I want to extract the accrrued interest of a bond in R using Rblpapi package, so my function is: bdp(securities = "CA135087D507@BGN Corp",fields = "INT_ACC", "SETTLE_DT=20200413") but this error is ...
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1answer
134 views

Pricing IRS: bootstrapping zero rate (spot rate) from the swap curve

I would like to ask about swap zero curve calculation algorithm used by Bloomberg. Below is a plain vanilla EUR IRS. I want to calculate >= 2 year spot rates from the market rates. I don't know how to ...
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1answer
83 views

Calculation of the Bid-Ask Spread on Bloomberg

I downloaded the bid-ask spread from Bloomberg, but did not check how they calculate them. Is it only the ask minus bid price or is it weighted in a way? I appreciate your help!
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1answer
167 views

why is ADBSC currency positive?

Hi guys I am new to cross currency. Could anyone explain why ADBSC <curncy> (Australian Dollar 3 month cross currency basis) in Bloomberg is always ...
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72 views

How can I download NYSE market capitalization by using Data Stream?

I am downloading the monthly New York Stock Exchange (NYSE), AMEX and NASDAQ's market capitalization between 31/12/1991 and 31/12/2019 on DataStream. Firstly, I tried to use both 'NYSE composite' and ...
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1answer
107 views

Bloomberg: fetching returns based on identifiers

I have a list of about 8000 global companies identified using SEDOL identifiers and tickers (for whatever exchanges the companies are listed). I need to retrieve data about these for a regression, ...
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1answer
114 views

Bloomberg code for last trade price before the closing auction

I would like to run a study on stock prices before the closing auction. I would like the study to look at prices once a day for each stock. I do not currently have access to a Bloomberg terminal so ...
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131 views

Bloomberg SWPM Zero Rate Curve Conventions

Referencing : Bloomberg SWPM: Day count to calculate discount factor for US0003M Hi, I have a hard time reproducing the conversions between Discount factors and zero rates for an XCCY Swap I have ...
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2answers
214 views

Correlation Gold and SPX in BBG

I was always under the impression that gold as a safe haven was more or less inversely correlated to the general market. After using the HRA function in Bloomberg I saw that the correlation is just -...
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98 views

Bloomberg Treasuries PX_Last and daily returns

I tried to search for this specific question, although I didn’t found a conclusive answer. I have a dataset containing the yields of several T-Bills and T-Notes that were downloaded from a Bloomberg ...
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1answer
45 views

Confusion about bid- ask- and last-prices from option prices data

I’m struggling with the interpretation of quoted option prices I obtained from Bloomberg. The call options prices are available for a daily time series with different strikes at a given day. I ...
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34 views

Why TAS contract for CME gold futures expires earlier than the CME gold futures?

As you see in Bloomberg, the TAS(Traded at Settlement) contract for CME gold(for e.g. TASZ9 COMDTY) expires in 26/11/19. Whereas CME Gold(e.g. GCZ9 COMDTY) expires in 27/12/19. Why is this so?
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627 views

setting up bloomberg api for python

I am trying to configure bloomberg api in python. I have used pip to install the api, i also downloaded the BloombergWindowsSDK. I am not sure where to go from here. Can i please get a step by step ...
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43 views

Bloomberg - retrieving historical index values

I am looking at a Bloomberg index which goes out into the future (i.e. a mix of past realizations and future projections) - WNDFTTDE Index (Past and future wind capacity in Germany). While this ...
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54 views

Bloomberg C# / CS.NET SDK for STDY Functions

I have downloaded and installed the CS.NET SDK from STDY. I have installed this as admin and had no problems with the install. However, when I open VS2017 (last version supported by BBG) I do not see ...
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1answer
253 views

Find Interest Rate Swap BUMPs from Bloomberg in Excel

I have a bunch of plain vanilla interest rate swap contracts with all the relevant details regarding payment structure such as notional, fixed rate, index, payment frequency, reset convention, etc.. ...
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1answer
686 views

Bloomberg Ticker mapping with Reuters RIC

I am trying to map Bloomberg ticker into Reuters one. For example this one: EDZ3C 96.625 COMDT Few years ago aforementioned BBG ticker would be mapped to Reuters ...
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150 views

Extract list of tickers bloomberg api [closed]

Does anyone know what is the python equivalent to the BQL.Query/BSRCH functions from the Excel API? I am essentially trying to get a list of tickers for all government bonds from a certain country ...
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60 views

How can I get real-time CDOR rate, swaps, and options pricing data refreshed on a daily basis in Excel?

I'm currently using "Bloomberg Anywhere", which is the same as Bloomberg Terminal except account-specific rather than PC/hardware-specific. I currently have to refresh the rates every morning at ...
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Valuing TRYUSD currency swap on Bloomberg

Usually a leg in a swap is discounted using the corresponding OIS curve if the deal is collateralized and if collateral is posted in a different currency teh discounting happens with the corresponding ...
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4answers
4k views

Px last in Bloomberg

This is my first post to this forum. I want to calculate security returns , so therefore, I have downloaded the PX last price from Bloomberg. My question is: What is PX last in Bloomberg? Is this ...
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39 views

Getting index sectors historical weightings from Bloomberg using python

I want to know how to download an index sectors' historical weightings from Bloomberg. For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
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1answer
93 views

Availability of GC Repo Rates for Different Maturities

I am trying to replicate a Covered Interest Rate Parity arbitrage trade using General Collateral Repo rates for my Bachelor Thesis. My problem is that I do not have the necessary knowledge of what ...
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1answer
279 views

Do quants need to know bloomberg terminal and VBA? [closed]

I am a Pure Maths PhD student who will graduate in 2 years time. My aim is to land a quant job after gradauation. When collecting more information so that I can have some edges over others, I heard ...
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3answers
115 views

How do I derive a blend of a 3Y future and 10Y future risk?

So I have a portfolio of Govt. bonds that I'm trying to hedge with futures. Let's take one of the bonds out of the portfolio as an example. In bloomberg, every bond and its future counterparts has a ...
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1answer
145 views

Understanding VWAP and DMA in EMSX Bloomberg

I'm trying to better understand the difference between the VWAP and DMA Strategies in Bloomberg through the EMSX function. As far as I understand is putting orders in Direct market access(DMA) a way ...
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3answers
1k views

Interpolating the swap curve

Does anyone know how I can calculate the swap rate in between main tenors for specific dates? For example: what is the implied swap rate in 1 year, 60 days time. Is there an easy way to do this in ...
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1answer
2k views

What is Yield To Convention?

I know what gross redemption yield of a bond is. I am unaware of "Yield To Convention". It is a Bloomberg ticker code (multiple in fact) YLD_CNV_MID, YLD_CNV_ASK & YLD_CNV_BID The term "Last ...
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1answer
659 views

Mark-to-market cross-currency basis swap valuation

I'm looking to replicate the EUR vs USD cross-currency basis curve that Bloomberg outputs (EUR.OIS collateralized in USD). I understand that Bloomberg is currently using the mark-to-market ...
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0answers
82 views

Collecting historical coupon data on sovereign generic bonds in Bloomberg

In the Bloomberg terminal, a generic bond (e.g. GGR >> Australia >> 5Y bond) has a coupon rate stated in the Security Description (DES). I have daily historical yield data for the generic bonds, and ...
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1answer
671 views

Swaption valuation across time using vcub

On Bloomberg one has access to the rates vol cube with the VCUB function. For a given currency, today, one sees Black implied volatilities for swaptions of various expiries and strikes, for forward ...
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2k views

Swaption : Bloomberg Black implied volatility quotes and pricing in the Black model

I used a lot Bloomberg's VCUB for data, but never used its integrated swaption pricer "Quick Pricer for Swaptions", nor Bloomberg's "full" swaption pricer from "SWPM -OV". I am retrospectively quite ...
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3answers
763 views

Definition of the field YAS_RISK for bonds on Bloomberg terminal

The Bloomberg terminal has the following definition for the field YAS_RISK (SP190): "Indicates the price sensitivity given shifts in interest rates." It does not specify, however, what currency is ...
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1answer
2k views

How to get historical daily index values from Bloomberg Terminal?

I found a lot of questions asking about index returns and index constituents, however, i'm looking for just daily closing values for certain Total Return indices. (FTSE/MSCI/BBBarclays) - these are ...
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68 views

Bloomberg - Index Constituents over a period of time

I basically require a list of the FTSE 350 constituents from 02 Jan 2002 (this is as far back as BB has for member data) to 31/12/2017. I tried to create this dataset using the spreadsheet builder ...
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0answers
44 views

Extract historic share prices for certain securities at certain points in time with Bloomberg Excel Add-in? [closed]

In order to create some sort of basic framework for everything we are planning on doing in a research project, we would need to get historic intraday data about share prices at certain points in time. ...
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3answers
228 views

Risk-neutral density from spot prices?

I am currently working on a university project and I hope someone can help me out with a rather silly question :-) I want to analyse the change in the shape of risk-neutral density functions of spot ...
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0answers
81 views

Do Reuters or Eikon have intraday exchange rate data for minor currencies?

I need historical intraday exchange rate data (for a minor european currency - EURRSD) for my thesis. Not necessarily tick by tick - just prices at any interval below an hour will work. I guess there ...
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0answers
36 views

Getbars for matured interest rate products

Using the getbars function from rblpapi package. Can you extract intraday data for a matured interest rate product? For example a German bubill The function works for interest rate products that are ...
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1answer
2k views

Bloomberg SWPM: Day count to calculate discount factor for US0003M

I'm trying to replicate price I get for CCIRS in SWPM. This is USD3m float vs RUB 1Y. Second leg doesn't matter for my question. Suppose today is 7th of Jan 2019, deal date. Settlement will happen on ...
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2answers
53 views

Search for all bond with particualar fields in bbg terminal [closed]

Is it possible to get list of e.g. bonds from bbg terminal with some particular fields. Example: Can I get list of all bond which has some particular day count convention, some frequency, a long ...
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1answer
836 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
363 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
140 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 ...