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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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G spread in bbg for callable

As I understand OAS is the credit metric of choice for credit risk. And it is computed by subtracting option value from z-spread. My question is: in BBG screen I see G-spr listed for callable bonds, ...
Medan's user avatar
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3 votes
2 answers
235 views

QuantLib calculations for a Canadian corporate fixed rate bond differ from BBG YAS

I am pricing a non-callable, fixed-rate, Canadian corporate bond with the following parameters: Name Value CUSIP 12657ZAT0 Evaluation Date 2/14/2024 Settlement Date 2/16/2024 Bond Issue Date 3/6/...
Juice's user avatar
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1 answer
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How does historical data from bloomberg interact with timezones?

I'm running analysis on multiple countries bonds over a long stretch of time. I was asked about what determines the date of data in Bloomberg, ex: December 31st in NY will be January 1st in Japan and ...
Ahhhhhhhhh's user avatar
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unable to call blpapi function (InstrumentsListRequest) using xbbg

I am trying to call the example of blpapi using xbbg ...
Tanjin Alam's user avatar
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1 answer
284 views

What is the day-count basis of the "true yield" reported by Bloomberg for bonds?

Plenty of sources the web, including Bloomberg's CFA pararation pages, state that the "true yield" reported by Bloomberg for bonds uses business adjusted payment dates for computation. ...
Rodolfo Oviedo's user avatar
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177 views

Matching of Symbols from Bloomberg and refinitiv , for OTC derivatives trade clearing

I have been researching on this Scenario , since few days : - Actually I have scenario , where we are dealing with OTC derivatives and BUY/SELL order can be punched in on different systems like Buy ...
Sharul's user avatar
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3 votes
0 answers
152 views

Is Bloomberg's global equity data sufficiently high quality that it can be used for backtests?

I have used other data sources like CIQ, CRSP / Compustat, and Refinitiv. While each has issues, the data were sufficiently high quality that reasonably reliable backtests could be run. I may need to ...
Deets McGeets's user avatar
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1 answer
193 views

What is "position" when referring to the holders of a bond?

A bond has a "holders" list, available on Bloomberg. I can see "held amount" of each party in USD, but what is the meaning of "position"? Is it a USD value (if you ...
apg's user avatar
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Creating a Bloomberg bquant portfolio

As an ex-investment banker (salesperson to be specific) and amateur programmer, I’d like to move into quant work. I’d like to create a coding portfolio using Bloomberg’s bquant, but as I’ve left the ...
Joe's user avatar
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193 views

How do I get the maturity date of an OIS with the Bloomberg Excel add-in?

I have an Excel sheet where I want USD OIS rates for tenors between 1 week and 1 year, as well as the maturity date of the swap as of 13/09/2018. Below picture shows what I currently have. Column C ...
Aleksander's user avatar
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How does Bloomberg compute the cross currency swap basis?

First, look at the FXFA for EURUSD The EUR and USD Yield & FX swap rate on 10/18/2023 are given as: The computations are shown in this answer. ........................................................
Engin YILMAZ's user avatar
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2 answers
2k views

How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

Question 1: You can see Bloomberg EUR/USD FXFA<go> page attached below EUR 3 months yield=3.9412 US 3 months yield= 5.6683 Spot Rate: 1.0580 How does it find FX swap rate as 1.062732? Question ...
Engin YILMAZ's user avatar
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1 answer
449 views

Difference between two Bloomberg codes SIX Market

23 Bloomberg always have two codes for the same instruments. For example, for CIE CIE FINANCIERE RICHEMO, Bloomberg has CFR SE and CFR SW. I am wondering what is the difference between these two codes?...
Deborah Callegaro's user avatar
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168 views

Intraday Data Frequency for Bid and Ask Prices vs Trade Prices

When performing the following BDH query for a particular stock: =BDH("AT0000652011 ISIN","LAST_PRICE","1/3/2023 0:00:00AM","1/9/2023 0:00:00AM","BarTp=B&...
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How to compute Bloomberg T-Bill yield in BXT? [duplicate]

could any kind soul explain how are the Discount and Yield computed? Also, do they refer to “Discount Yield (daycount Act/360)” and “Yield (daycount Act/365)” respectively? Thank you!
Cinnamonball's user avatar
2 votes
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42 views

CDS data for different industries/rating? [duplicate]

I have come across below CDS data (index values) based on different Rating, Industries, and Regions, I am wondering where can I get more complete data i.e. such ...
Daniel Lobo's user avatar
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Calculating the Delta of FX option

I'm tying to reconcile the delta value for an FX option. I'm comparing the results to Bloomberg to verify our calculation is correct. I've looked at this - Quantlib: Greeks of FX option in Python but ...
Nikesh P4tel's user avatar
2 votes
1 answer
1k views

How does Bloomberg use the OIS curve to get the zero rates?

I'm trying to reproduce the zero rates using the market rates, but I have not been able to. I read the Bloomberg's "Building the Interest Rate Curve" paper and followed the formulas exactly ...
Andrei Sultanov's user avatar
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584 views

Building a forward curve for multiple tenors - Quantlib python

I am attempting to build a forward curve for multiple tenors (1M / 3M / 6M / 12M) using the quantlib library. The input to my model are sofr swaps(1W through 50Y). It appears I am building my curve ...
dummy_quant's user avatar
1 vote
1 answer
362 views

What could the cashflows of US0SFR1Z Curncy be?

So this "SOFR vs fixed" swap has a fixed leg paying 5.231% yearly and a floating leg paying yearly the yearly compounded SOFR rate, and has a 1W term. If it has started today, it won't have ...
EricFlorentNoube's user avatar
1 vote
1 answer
260 views

Bloomberg FXFM: what is the point of knowing risk neutral probabilities?

Among other things, Bloomberg FXFM function allows you to check risk neutral probabilities for currencies. For instance, you can check the probability of the euro depreciating 5% vs the dollar in 6 ...
Peter's user avatar
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2 answers
160 views

Bloomberg access from publishing platforms such as Posit Connect

It is easy to download Bloomberg data in Python or R using their blpapi API. The only requirement is that one is logged on the local Bloomberg terminal. We often find ourselves working on publishing ...
TylerD's user avatar
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Why is Bloomberg showing difference yields than US Dept of Treasury

I am using historical 30yr US treasury rates for a project. When I downloaded the rates from Bloomberg by queuing the history of the USGG30YR index, I found the numbers different from what US ...
LeonC's user avatar
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Bloomberg BQNT vs Dektop API

I am currently looking at alternatives to the Bloomberg Desktop API as I frequently reach the daily or even monthly data limit. One alternative which was proposed to me was switching from a desktop ...
Menander's user avatar
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1k views

Bloomberg field name to get implied volatility of options

I am trying to get option data from bloomberg api. I got the all available options on a given underlying eg:"ASML NA" and Field "PX_LAST" gave the last traded price for each option....
user66156's user avatar
3 votes
1 answer
894 views

Is LEI and Bloomberg Ticker one to one mapping. How about LEI, Bloomberg Ticker, Bloomberg ID, ISIN and CUSIP?

I am working on a project and need to map different IDs. Is LEI and Bloomberg Ticker one to one mapping? I can use Bloomberg formular =BDP(A1,"LEGAL_ENTITY_IDENTIFIER") to convert ticker &...
DavidG's user avatar
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0 votes
1 answer
447 views

Risk-free yield curve creation for Euro

I'm working on a Interes Rate Risk in Banking Book model for EVE calculation. It doesn't matter if you know what it is or not, I just need help with one step. That step is the creation of risk free ...
Nikola's user avatar
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2 votes
0 answers
654 views

Historical data on Credit default swap

I am aware that there is an active CDS market for insurance from US sovereign default (in terms of treasury bond) as Dimitri Vulis commented. I am looking for the ...
George's user avatar
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1 vote
1 answer
1k views

Intraday (non-tick) Historical Data - Bloomberg Python API

Is it possible to get hourly or minute-by-minute data (in the form of a dataframe) in Python using one of the API wrappers (xbbg or ...
Student's user avatar
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2 votes
1 answer
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Bloomberg FWCM vs FWCV

I'm helping my team to project 90-day T-bill forward rates. I have two options: using FWCM or FWCV in Bloomberg. My team has used FWCM. Today I opened FWCV and found that the rates for the same curve (...
LeonC's user avatar
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4 votes
1 answer
561 views

FX-swap market convention question for o/n

Can someone enlighten me regarding the market convention for quoting an overnight fx swap where one leg is USD and today is a USD-holiday (but not a holiday in the other currency)? An example is ...
Magnyz's user avatar
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-2 votes
1 answer
2k views

How does bloomberg calculate the discount rate from EUR estr curve? [closed]

I'm currently reading bloomberg's paper "Building the Bloomberg Interest Rate Curve – Definitions and Methodology." but I cannot rederive the discount rates even for the most simple terms. I ...
sp1r0u's user avatar
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2 votes
1 answer
513 views

How does Bloomberg calculate the 2 year swap rate using the current eurodollar futures prices? [closed]

I am getting hung up on the front and back stub periods and convexity adjustment. I've read a ton of similar posts but so far have not been able to tie out to this 2 Yr rate exactly. Any help is ...
Dan's user avatar
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0 votes
0 answers
58 views

Formula to convert Bloomber ticker to ISIN, RIC or Factset ticker [duplicate]

I want to convert Bloomberg tickers (for equities) that to either of ISIN, CUSIP, RIC, Datastream code or Factset Ticker. I don't have access to Bloomberg but say if I just want to convert Bloomberg ...
financialgeek's user avatar
2 votes
1 answer
3k views

What is the difference between Discount Yield and Yield on US Treasury Bills

I would like to understand the fundamental difference between yield and discount yield, specifically relating it to zero coupon treasury bills. Please see image below: For those who are terminal ...
pirloe's user avatar
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132 views

Adjusted beta for short positions, should we re-adjust the formula?

I see in BBG that the beta of XSPS (an inverse SP500 ETF) to SPX Index is -1.05 and the adjusted beta is -0.37. I get that -1.05 * 2/3 + 0.33 matches the adjusted beta. However, does this adjusted ...
tweedi's user avatar
  • 527
2 votes
1 answer
707 views

FX Option Vol Quotes (Days or Days+Time to Expiry)

I understand FX Options are often quoted via ATM, RR, BF for 10/25 deltas. There are many resources that outline how to convert those quotes back into absolute strike space (using spot delta or ...
Phil-ZXX's user avatar
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1 vote
1 answer
635 views

How does Bloomberg bootstrap CASH Instruments?

Given the following datas : If we do the bootstrap methodology for CASH Instrument we gotta : Calculate the DF associated to the Market Quoted Rate (2.91157). For the 3M Fixing we have : T = 0.26115. ...
TourEiffel's user avatar
1 vote
1 answer
495 views

BLOOMBERG Strike vs Straddle Volatility

In Bloomberg's VCUB, what is the difference between the "strike" volatility and changing this option to "straddle"? It seems like the "straddle" vol should be the same as ...
Alex R's user avatar
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3 votes
1 answer
553 views

Question about swaption premium quote on the bloomberg terminal

This is my first question here and I hope that my question is appropriate. I have some data about swaptions that are from the bloomberg terminal and basically I am performing a risk-neutral ...
Dilapidated Mattress's user avatar
1 vote
2 answers
3k views

How do you extract only prices for an index from Bloomberg?

I’m trying to get data from an index on Bloomberg terminal into excel with BDH command. Specifically I am trying to get all of the closing prices for each company in the Russell 2000 index for every ...
Bertina Kudrin's user avatar
2 votes
2 answers
2k views

Understanding FX forward points and market usage

I've been trying to make sense of how the FX forward market works. Let's say today is June 13, 2022. And we have the next market info as seen in Bloomberg for the FX cross between USDMXN, assuming mid ...
Aldo Shumway's user avatar
0 votes
1 answer
933 views

Trying to check this 1Y1Y forward treasuries calculation

here is a screenshot of the FWCM screen on Bloomberg: https://i.stack.imgur.com/2BT3y.jpg I'm trying to check that I understand this by calculating the 1Y1Y which according to this matrix is 3.6877%. ...
filifunk's user avatar
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4 votes
0 answers
100 views

Level 1 NBBO - what is going on?

Looking at some level 1 quotes data (QRM) on the bloomberg terminal for a DAX index option. Why is there always a 1 lot quote for 450 just popping in every other tick? Seems like there is a single MM ...
des224's user avatar
  • 93
3 votes
1 answer
522 views

API for Commodities Stock markets

I would like to have a clear picture about lithium investments all over the World. I like this website where I can see all companies related to lithium on the Australian Market. The website also ...
Francesco Mantovani's user avatar
1 vote
1 answer
700 views

Bloomberg DLIB BLAN in Python

The title describes the question. Below provides more details. Kindly let me know how industry is working on this. I am a heavy user of Bloomberg excel API, including WAPI and DTK (formula such as ...
QChen's user avatar
  • 11
0 votes
0 answers
641 views

Bloomberg, historical intraday government bond data

I would like to get 10Y and 5Y intraday historical government bond prices (best bid and ask) for different countries. I thought that I have found a solution on Bloomberg, but there are some issues. I ...
Avocado's user avatar
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-1 votes
1 answer
210 views

Model-Free Implied Volatility: Data of Expired Options and Bond Price

I am attempting to calculate Model-Free Implied Volatility for several equity indices (S&P500, NASDAQ100, CAC40, FTSE100, DJIA, EUROSTOXX50, NIKKEI225, NIFTY50). I wish to get historical data of ...
Vishal Nagwani's user avatar
0 votes
3 answers
2k views

Fixed vs float swap interest rate risk

I have some technical questions about what are the best settings in Bloomberg to calculate the interest rate risk of a swap. When Bloomberg calculates the DV01, it simply bumps the par swap curve by +/...
Daniel's user avatar
  • 29
0 votes
0 answers
161 views

Put call parity with real time tick data

I am working with some real time options tick data (mainly futures options and index options), and in many cases the quotes are single sided (as seen on bloomberg terminal). I will denote a quote as ...
des224's user avatar
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