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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How to get bond price changes from a specific date?
I need to get historical change in price data from a bond.
I usually first get the bond price from a specific date (lets say 03.01.2022) and then calculate the cumulative change in price since that ...
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Pricing Options on Bloomberg
If I would like to buy 14 put options contracts. What number of shares to input?
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QuantLib Swaption Pricing
I'm trying to replicate Bloomberg's swaption pricer(SWPM -OV) in QauntLib. I'm using the same curve(USD SOFR) for both forward and discount curves. However, the code I wrote in python gave me ...
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Volatility - own estimate vs Bloomberg's estimate
I am not an expert in volatility estimation, and results with my data give me some confusion. I would be grateful if you would help me understanding the definitions and the issue.
I have two ...
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Derivatives data vendors for individual user [duplicate]
I am looking for a market data vendor that I can utilize for my personal research or practice.
Among the market data vendors that provide the swap rate required for bootstrapping, are there any ...
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Bootstrapping SOFR swap curve
I want to know key tenors of SOFR swap for building discounting curve for pricing derivatives.
To build a similar curve to that of Bloomberg ICVS & SWPM, Which instruments should I use?
Which ...
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How does Bloomberg calculate reset rates for a fixed to floating swap?
I believe Bloomberg uses daily compounded sofr rates to calculate the reset rate for a cashflow period. My question is when I take the data from S490 curve - USD SOFR curve directly and linearly ...
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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, ...
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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/...
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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 ...
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134
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unable to call blpapi function (InstrumentsListRequest) using xbbg
I am trying to call the example of blpapi using xbbg
...
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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. ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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.
........................................................
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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 ...
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897
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Difference between two Bloomberg codes SIX Market
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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?...
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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!
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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 ...
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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 ...
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1
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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 ...
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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 ...
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550
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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....
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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 &...
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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 ...
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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 ...
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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 ...
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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 (...
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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 ...
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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 ...
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1
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641
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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.
...
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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 ...
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685
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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 ...
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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 ...
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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 ...
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Trying to check this 1Y1Y forward treasuries calculation
here is a screenshot of the FWCM screen on Bloomberg:
https://i.sstatic.net/2BT3y.jpg
I'm trying to check that I understand this by calculating the 1Y1Y which according to this matrix is 3.6877%.
So ...
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