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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questions with no upvoted or accepted answers
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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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2
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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 ...
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Historical volatility on bloomberg API
Is there a way to obtain the historical volatility of a stock from the bloomberg API? I would be looking for the data in the HVT table. Actually 3-months historical volatility from now would be enough....
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what is the definition of resetting tenor and time to maturity tenor in libor rates
I have a question about the definition and understanding of libor rates. We have the time to maturity tenor, $T$, which is the time over which i borrow or lend money. For libor we also have the reset ...
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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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202
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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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Which financial database has the most extensive coverage of person-level data and uses person-level identifiers
For some empirical research, I need to retrieve data relating to the board members of companies corresponding to all securities in a major index.
The data points I am looking for include gender, ...
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485
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Can you tell me what this RBloomberg formula means?
I've been asked to re-create a spreadsheet that used RBloomberg using a different data source. But I'm having trouble figuring out exactly what one of the spreadsheet's formulas does. Can anyone tell ...
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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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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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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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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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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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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
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445
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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 ...
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323
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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 ...
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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 ...
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286
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Collecting historical coupon data on sovereign generic bonds in Bloomberg
In the Bloomberg terminal, a generic bond (e.g. GGR >> Australia >> 5Y bond) has a coupon rate stated in the Security Description (DES). I have daily historical yield data for the generic bonds, and ...
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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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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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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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817
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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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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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Commodity index member weights (historical) for S&P GSCI and BCOM
Does anyone know a datasource for retrieving the historical index member weights for the two major commodity indices S&P GSCI and Bloomberg Commodity Index?
My institution provides access to ...
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1
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467
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Does OpenFIGI have precanned files?
From what I understand, Bloomberg Open Symbology is now transitioning to OpenFigi:
http://bsym.bloomberg.com/sym/
"BSYM.bloomberg.com will be SHUT-OFF on June 1st. It is being replaced by OpenFIGI....
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1
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197
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Returning historical yield rates for Mortgage Backed Securities in a Bloomberg Terminal?
Forgive me if this isn't the right place, and direct me to the correct place to post.
I've been trying to figure out how to get the yield rates for Mortgage Backed Securities (MBS's) in the United ...
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3k
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Exporting Time Series Data For Securities Prices From Bloomberg to Excel
I have a list of securities over a thousand entries long that I want to construct a time series of prices for over a specified historical period (e.g. 2/01/10-2/20/10). Doing this manually would take ...
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where to find historical option prices?
I have a dataset of options (traded in European exchanges such as NYSE Euronext) and I would like to find their price history.
Where to find it?
I see that ...
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Clarifying the way in counting number of weeks for calculating historical weekly volatility in Bloomberg
I would like to confirm the way to counting number of weeks for calculating historical weekly volatility in Bloomberg. Given an option with issue date from 14/1/2014 to 13/1/2019, is the proper way to ...
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Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?
can anybody tell me which models Bloomberg and Reuters ares using to derive implied volatility for interest derivatives with negative forward rates?
I know that Black-76 is the standard model, and ...
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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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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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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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1
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203
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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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Help with aligning discount factors and forwards for Interest Rate Swap valuation using Quantlib
I am trying to price an IRS using Quantlib. As a natural benchmark for pricing, I use Bloombergs SWPM function.
Before digging into the actual pricing, I want to see if my bootstrapping of the curves ...
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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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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,...
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176
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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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70
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BSE India best data source for foreigners (Bloomberg terminal?)
I'm looking for a best possible data source for BSE India realtime L2 data (at least 5 levels of book) equities only (F&O welcome, but not needed).
I have an access to bloomberg terminal, have ...
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2k
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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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