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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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Option Prices on Thomson Reuters Eikon Database

I would like to get hist. option prices from Eikon. I am not looking for the entire option chain and I was wondering if Eikon offers average data/prices. Average European call and put option prices ...
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1answer
92 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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82 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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23 views

How to retrieve greeks and IVOL historically for listed options (using Bloomberg)?

Is there a way to get Prices, IVOL and greeks on historic option contracts (eg on the underlying RXM15) on Bloomberg, and follow this particular option with Strike K throughout its lifetime (eg on ...
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1answer
2k views

How to compute for basis adjusted forward rate?

To give you a brief background, I'm valuing a fixed-for-float Interest Rate Swap (IRS) using Bloomberg. I put in a notional amount in (USD) and a assigned 6MO USD LIBOR as the reference index for the ...
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1answer
398 views

Rblpapi millisecond resolution

I'm using Rblapi to get tick data, using the nice getTicks function. Much to my dismay the index is rounded to the second, while milliseconds time stamp could be provided. Tried returnsAs xts, fts(?) ...
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1answer
273 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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3answers
88 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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11answers
87k views

Mapping symbols between tickers, Reuters RICs and Bloomberg tickers

Is there any known solution (preferably open source) to map between ticker symbols, Reuters and Bloomberg symbols. For example: Ticker: AAPL Reuters: AAPL.O (may be prefixed with RSF.ANY. dependent ...
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1answer
9k views

Bloomberg Currency Exchange Rate Data (London and New York)

I'm new to Bloomberg terminals (a paper I'm reading uses data from a terminal - my first exposure) and I'm having trouble figuring out how to download a few different time series: (1) daily closing ...
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1answer
106 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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27 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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18 views

Termstrc data preparation from Bloomberg terminal

I am trying to use the R package termstrc to estimate yield curves for the Czech Republic. I have found the structure of the required class ...
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0answers
24 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
163 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
26 views

city level data in bloomberg

Does bloomberg terminal provide economic information on the city level such as GDP, etc for countries other than us? If yes, just can I use the GDP function or there are other available functions? ...
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4answers
1k views

How to download bloomberg intraday data efficiently with API

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...
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1answer
751 views

Pulling portfolio from bloomberg

I am not sure wether I should post this question here or on stack overflow, but I'll give it a shot anyway. I am trying to get my portfolio from PORT in bloomberg. Basically I am trying to automate a ...
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0answers
43 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
29 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
143 views

Sovereign bond CDS data

Does anyone know where I can download from historical data for sovereign bond CDS (credit default swaps) rates? preferebly free?
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1answer
116 views

CDS Spread sensitivity

I am computing HVaR for corporate bonds using CDS spread to approach credit risk. I have data on cds spread for different maturities along the bond life and I need the sensitivity to spread change for ...
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1answer
438 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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0answers
40 views

Best database source to download large number of stock prices [duplicate]

I am wondering what databases exists where I can download stock prices from 2006 to today with the following features 1) using Python API 2) using Bloomberg tickers (e.g. AAPL US Equity) 3) free ...
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2answers
40 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
75 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 ...
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1answer
80 views

bds with field in R returning error

I am using Rblpapi and trying to query the following: bds("FN1 Comdty","FUT_CHAIN", overrides = "CHAIN_DATE=20170101") However, I am getting the following error:...
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1answer
191 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
405 views

Using Bloomberg API on Excel to find a stock ticker change/acquisition

I am wondering if there is a way in Excel, using Bloomberg API, to find if tickers have changed or acquired by other firms. For example, given these values, ...
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1answer
132 views

Why is the number of accrued days equal to one on coupon dates for NL/365?

Accrued day should be zero on coupon dates. This is true for all day count conventions. However, I found that Bloomberg returns 1 accrued day on coupon dates only for NL/365 day count. Bond example: ...
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1answer
797 views

Bootstrap daily OIS forward rate

Can someone please show me how to derive the daily OIS forward rate in a OIS-fixed rate swap? For example, if price a paying fixed rate/receiving OIS swap in Bloomberg SWPM, Bloomberg will be able ...
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1answer
746 views

Bloomberg APIv3 Get reference data overrides

I have an Excel function that I want to move into Python. The BDP function is: =BDP("IBM US Equity","BEST_EBITDA","BEST_FPERIOD_OVERRIDE","1FY") ...
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1answer
93 views

How to compare bonds in terms of volume traded in Bloomberg Excel Add-in?

I want to compare how much bonds of a handful of companies have been traded over the last years and pick the most traded bond for each company via the Excel add-in. One example of what I have tried ...
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0answers
104 views

Chat bot for traders [closed]

In the framework of my internship at a bank, I want to write a chat bot program in Python that allows our bond traders via their Bloomberg terminal chat box application to type in structured command ...
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0answers
76 views

OHLC inconsistencies in bloomberg

This may be clear to a practitioner, but consider the following rows of OHLC points: 55.20 56.50 55.35 55.45 (low > open) 53.30 53.30 53.20 53.325 (close > high) These are taken from ...
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1answer
250 views

(Bloomberg) BDP Formula question [closed]

Good Morning, I am using the below formula and need some help, how do I change the below strike price (400) to pull from a separate cell (T2) I have on the spreadsheet? ...
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2answers
28k views
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1answer
3k views

Bloomberg formula for bond total return

Do you know a bloomberg excel formula to retrieve the dayly total return of a bond over a period? By total return I mean : (change in price + coupon)/initial price Same as for a stock but with ...
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0answers
529 views

Bloomberg zero rate calculation using shift

I used Bloomberg to calculate a zero rate under a parallel shift of 100 basis points, however I can not understand the results neather duplicate them. I included the +100 basis points by using the ...
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1answer
572 views

Garman-Kohlhagen (Black-Scholes) Formula vs. Bloomberg OVML Calculator

I'm trying to price a European call option on USDJPY. We have that $S = 112.79, K = 112.24, \sigma = 6.887\%, r_d = 1.422\%, r_f = -0.519\%, T = 0.25$. My model, based on Black-Scholes, returns the ...
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1answer
972 views

Generic bond yields

I was looking on historical sovereign bond yields for a project. I was wondering what is meant by "generic bond yields" mentioned on bloomberg. Somewhere else i found data about the same country but ...
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1answer
502 views

Bloomberg Python Question - How do you access PRTU via python?

I am having some trouble using python to access Bloomberg as I cant find much documentation. All I really need to do is a simple lookup of dates in the PRTU function of Bloomberg, PRTU via a python ...
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0answers
361 views

bloomberg api: how to handle the max 1000 requests limit

I am using the Bloomberg API in R (package Rblpapi) to find the nearby price at elevator locations for Soybean/Corn in given states in the US. I use the function lookupSecurity: ...
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2answers
3k views

Getting Index constituents along with returns from Bloomberg

I am interested in getting constituents of an index along with individual stock returns on a 1m,1y, 5y basis through bloomberg terminal as well as through api. Do we have a single command which can ...
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3answers
685 views

Alternative to Bloomberg Excel Add-In for EOD Stock Prices

Is there a more cost-effective alternative to Bloomberg Excel Add-In? 90% of the time I only use Bloomberg to download security (hundreds of U.S. and international stocks) historical price data. The ...
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1answer
3k views

What is the EUR swap curve on Bloomberg? I.e. what is the EUR equivalent of S23 curve on Bloomberg?

I am trying to understand the currency basis calculation and whether there is a difference in currency basis when quoted vs. OIS and -IBOR rates.
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1answer
902 views
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2answers
511 views

Database of ETF and underlying index from Thomson Reuters or Bloomberg

I want to generate a table of ETFs listed in the US and declared benchmarks. The idea is that I want to have the possibility to use the benchmark as a proxy of the ETF to run longer backtests when ...
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1answer
293 views

Where can I find historical daily term repo data?

DTCC appears to provide historical o/n repo data for US Treasuries but does not do so for term repo data. If I want to analyze the term repo curve, where would I be able to find historical term repo ...
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5answers
6k views

Monthly data for popular indices (constituents).

Trying to be concise: I am interested in the most popular indices (SP500, FTSE100, DAX30, CAC40, SMI30, etc). For each index I want to know its constituents in a monthly basis. For each constituent (...