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 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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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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Is there a Bloomberg field for bonds that captures the coupon payment amount for a particular day?

For a bond, I want to know what the coupon payment amount would have been made (for today or any specific day) based on the payment schedule. Is there a bloomberg/bpipe field that would return that ...
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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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108 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 ...
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Trying to check this 1Y1Y forward treasuries calculation

here is a screenshot of the FWCM screen on Bloomberg: https://imgur.com/a/cO5kIOz I'm trying to check that I understand this by calculating the 1Y1Y which according to this matrix is 3.6877%. So the ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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Downloaded data is quote-driven or order-driven?

I downloaded data from Refinitiv Datastream (But I think that you get the same data from Bloomberg) to write my thesis. I downloaded prices and volumes. I have a crucial question now: Are the prices ...
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How Bloomberg calculates discount rates for zero rate curves?

I would like to ask about discount rates calculation algorithm by Bloomberg terminal. In the image above is possible to notice the discount rate for each term. The short end, instruments from 1 DY up ...
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Bloomberg / Norgate Historical S&P 500 Constituents/Universe

I am trying to get the daily S&P 500 constituents/universe from Bloomberg as I have been having trouble matching ticker names between Norgate and Bloomberg, meaning I need to use Bloomberg for all ...
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Bloomberg OVML| FX option pricing | Python

Wanted to check if any API for python is available to replicate Bloomberg's OVML. The objective is to perform FX options pricing for multiple positions, and we are getting stuck in calculating ...
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Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)

I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves. But most ...
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Data on historical, cross-country nominal yield curves

Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI. (I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
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"spread-to-maturity" as defined by Bloomberg

Bloomberg has a number "spread to maturity" they display in some screens for fixed coupon bonds. Does anybody know the exact definition of this spread? I am not sure which screen it is but ...
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Bloomberg Excel API for Hourly Volume Data

I'm trying to download hourly trading volume data via the Bloomberg Excel API. For context, this is the formula I'm using, which pulls hourly trading data for Apple between Dec. 10, 2021 and Dec. 17, ...
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Bloomberg: Get Historical Benchmarks

New on the terminal, was wondering if I could get some help. I am looking to find a time series for what the active benchmark was for a given tenor on the Canadian yield curve. I know that GTCAD5Y ...
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DI futures contract value on bloomberg

I am trying to understand the Contract value for DI1 futures on bloomberg. I assume the Price of 4.630 below is the CDI one day interest rate. Where does the Tick value of 9.6169 come from and how ...
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Replicating Bloomberg's zero rates bootstrapping

I'm interested in manually replicating the bootstrapping procedure that Bloomberg uses to built ICVS179 (RUB vs MosPrime 3M) curve up to a two years tenor as of October 12th 2021. These are the market ...
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Replicating Bloomberg Barclays index and sub-index monthly total and excess returns using constituent-level index-data

Bloomberg Barclays index returns (e.g. LF98TRUU Index "index_total_return_mtd" & "index_excess_return_mtd") and sub-index returns (e.g. BCBATRUU Index "...
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Can't fit Bloomberg volatility smile with pysabr. What am I doing wrong?

I want to make sure that I can properly use SABR model on 1-period interest rate options, i.e. caplets, therefore I attempted to get lognormal volatilities for 4%, 6%, ATM, 8%, 10% strikes for 3Mx6M ...
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Swaption ATM Vol Quotes and Interpretation: Normal Vol to Black

How do you interpret the time-series of 1m10y black vol vs normal vol? Normal vol would have you believe, that rate vol has since 2000 been low whereas black vol would show you a different picture. ...
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Spread duration curve by issuer or by sector

I was surprised to see that spread duration was not offered as a curve in Bloomberg. As a result, I'm trying to find a curve (in Bloomberg) or build a curve (maybe using the Excel API) which ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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.....
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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 ...
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622 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 ...
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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 ...
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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? ...
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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 ...
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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 <...
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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 ...
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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: ...

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