Questions tagged [bloomberg]

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

Filter by
Sorted by
Tagged with
0
votes
0answers
31 views

Fama-French factors creation using Bloomberg data

The standard FF factors as published by K. French (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) are created using CRSP data. If one downloads the (US) factors, the first ...
-3
votes
1answer
45 views

How do we analyse the future and option market on the base of the Fama-French model?

How do we analyse the future and option market on the base of the Fama-French model? Basically i want to know can we analyse derivative market on base of FAMA French or CAPM model ? e.g for stock we ...
0
votes
2answers
157 views

Where can I find caplet implied volatility data?

I am looking for caplet implied volatility data for Libor-EUR. Is there any online data base etc. available to get such data? Does ...
0
votes
1answer
91 views

Bloomberg Get ETF Constituents

I used the PortfolioDataRequest aspect of the Bloomberg API in C++; however, when attempting to request the portfolio of the TAIL US EQUITY (an ETF), it returns an invalid symbol. I also tried using ...
0
votes
1answer
118 views

Bloomberg API / Excel Add In - Delisted Stocks

So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
0
votes
0answers
23 views

Using Bloomberg API on Excel to find that a stock “ will ” change its ticker

I am wondering if there is a way in Excel, using Bloomberg API, to find if tickers "WILL" CHANGE or be acquired by other firms.
0
votes
1answer
194 views

Bloomberg python API - intraday tick/bar request for options?

Is it possible to request intraday tick/bar data for a particular option (e.g. AMC 4/30 10c @ $0.91) with the python bloomberg BLPAPI? I've managed to do pull intraday tick data (with ...
0
votes
1answer
65 views

Bloomberg Excel API, how to extract one number out of BDS

The BDS function provided by the Bloomberg Excel plugin produces multiple cells. For example, =BDS("VOD LN Equity", "TICK_SIZE_TABLE") fills three columns and 19 rows of data. The ...
1
vote
1answer
70 views

What is the correct volatility to use for inverting Black76?

I'm using VCUB on Bloomberg for ATM cap volatilities and have noticed there are a few "flavors" of volatilities. I would like simply use ATM flat vols to bootstrap forward volatilities from ...
2
votes
1answer
75 views

Building a fundamental equity scoring model based on data from Bloomberg

I have identified around 20 interesting statistics for a universe of stocks, regarding metrics of size, growth, valuation, quality, risk. Think market cap, free float, average daily volume. The ...
0
votes
0answers
30 views

Scale price and returns

Through Bloomberg I have downloaded some data related to the Bloomberg Euro Aggregate Bond Index, however I think I am wrong. I was convinced to have taken the historical prices of the index (in ...
2
votes
1answer
55 views

What are the eurozone bond indices? And where can I find them?

I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several ...
1
vote
0answers
100 views

Is Total Return data for mutual funds on Bloomberg adjusted for fees/expense ratio?

I'm comparing the performance of mutual funds using monthly returns data from Bloomberg. I use the Day to Day Total Returns (Gross Dividends) field represented in Excel by ...
0
votes
1answer
220 views

Second by second stock data from Bloomberg API (or anywhere else that is free) into Pandas Dataframe

I need to compile stock price data for ADR and ORD pairs (and the currency between them) into a Pandas dataframe. My initial plan was use Python's requests library and a free Rapid API account to get ...
0
votes
1answer
199 views

BQL Question [New to BQL and programming in general]

I have this BQL query to grab a list of Russell 3000 members and get the firm names. Is there any way I can grab other data with the company names such as industry/sector name, total assets, EPS, etc.....
0
votes
2answers
75 views

Bloomberg Crude Oil Indices

I am trying to gather a time series data for Crude Oil Future prices (both Brent and WTI) to work on a project. I see that the BCOMCO (Brent) and BCOMCL (WTI) indices are constructed from the ...
0
votes
1answer
168 views

Best way to get Sharpe ratio and volatility based on BBG-data in Excel for automation

For tickerized portfolios in PRTU, I want to extract Sharpe ratios and historic volatilities per annum or for 1, 3, 5 years from Bloomberg. So far, I have been ...
0
votes
0answers
56 views

Which one would give me more accurate implied volatility Bloomberg or superderivatives?

I am looking for pricing some options using implied volatility provided by either Bloomberg or superderivatives. So which one would provide me with accurate vols so when the options that I have priced ...
0
votes
1answer
381 views

Bloomberg bond clean price and accrued amount differs from Quantlib

I'm getting the different bond clean price from Bloomberg and from QL but surprisingly Bloomberg price matches with excel price() function I have the following bond : GETC21117030. The parameters are ...
0
votes
2answers
159 views

Download Curve in the past via TIA Bloomberg in Python

I am using TIA package in Python to download an interest rate curve. Using the following script I get the last curve. How do I specify a date in the past to have a curve in the past? ...
1
vote
1answer
81 views

Appropriateness of the Bloomberg CLO Cashflow Generator

Since CLOs seem to gain in popularity because of the COVID-19 crisis, I came across the possibility in Bloomberg to generate cashflows for newly issued CLOs through the function "weighted average ...
0
votes
0answers
59 views

How does Bloomberg calculate beta?

I tried manually calculating Bloomberg's historical beta based on the historical spread of SPY and equity price data, but I couldn't get the same result. I read somewhere that Bloomberg's default ...
0
votes
1answer
881 views

Populating price data from Bloomberg in Excel with BDH via macro not returning time series

Though issue has been addressed before on stackoverflow and reddit, I was not able to find any useful answers. I'm running a macro to populate price data with a macro via excel bloomberg API, say <...
0
votes
1answer
131 views

About BDP formula on getting Volatility of stocks from Bloomberg

I have tried VOLATILITY_90D to get the VOLATILITY of stocks from Bloomberg in excel. However, I found that I cannot get the VOLATILITY of some Stocks,such as 330 HK, 3800 HK. Could anyone help me to ...
1
vote
3answers
227 views

Where can one find implied OIS and Libor interest rates in Bloomberg?

I am struggling to find future interest rates for various tenors: **EUR: Eonia OIS rates: O/N (fixing), 1W, (2W), 1M, 3M, 6M, (9M), 12M Euribor rates: 1W, (2W), 1M, 3M, 6M, (9M), 12M, 18M, 2Y NOTE: ...
0
votes
0answers
73 views

reading a table of US treasury yields

I attached screenshot of US treasury yields from bloomberg today and try to understand it. A few questions are below, taking the example of 2-year bond: Is maturity exactly 2-year later today? If not,...
0
votes
0answers
62 views

Bloomberg excel overrides

I'm looking to obtain SPX index quarterly returns for the past 10 years in Excel. I'm trying to use this BDP formula (=BDP("SPX Index", "CUST_TRR_RETURN_HOLDING_PER", "...
2
votes
1answer
263 views

Which is the “correct” 5Y5Y Inflation Expectation on Bloomberg, and what are the differences?

When the market talks about 5Y5Y expectation, is it referring to FWISUS55 Index, or G0169 5Y5Y BLC2 Curncy on Bloomberg? I ...
2
votes
1answer
418 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 ...
2
votes
1answer
166 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 ...
1
vote
1answer
149 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,...
0
votes
2answers
147 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 ...
3
votes
4answers
3k 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 ...
1
vote
0answers
116 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
0
votes
1answer
764 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 ...
0
votes
1answer
496 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!
1
vote
1answer
365 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 ...
0
votes
1answer
365 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, ...
1
vote
1answer
269 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 ...
1
vote
0answers
288 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 ...
4
votes
2answers
302 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 -...
1
vote
0answers
203 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 ...
1
vote
1answer
83 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 ...
1
vote
2answers
1k views

setting up bloomberg api for python [duplicate]

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 ...
1
vote
0answers
65 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 ...
1
vote
1answer
488 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.. ...
4
votes
2answers
2k 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 ...
1
vote
0answers
306 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 ...
0
votes
1answer
112 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 ...
2
votes
1answer
113 views

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 ...