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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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568 views

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 ...
2
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1answer
384 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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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
237 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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1answer
706 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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0answers
4k views

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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873 views

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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0answers
59 views

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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337 views

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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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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0answers
42 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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27 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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0answers
504 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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0answers
344 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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0answers
427 views

Extracting continuous futures prices on different dates with the ratio adjustment

I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings. For instance, to extract the first/forward generic ...
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0answers
468 views

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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0answers
310 views

question about the market quote from bloomberg

I am a little bit new in finance. Perhaps it is not suitable to ask here, but still, I would like someone can help me. What I have now in hand are normal volatilities taken from Bloomberg for a ...
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0answers
386 views

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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172 views

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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0answers
2k views

Get: Historic S&P500 Market Cap

I need the market cap of the S&P500 components on 2.6.2013. It should be easily downloadable via Bloomberg, but I dont have this databank. E.g. you could use ...
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0answers
2k views

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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0answers
1k views

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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0answers
88 views

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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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
25 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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73 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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50 views

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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55 views

How to retrieve list of names of board members for a given ticker from Bloomberg Professional

I would like to investigate some data on individual board members in a systematic way. I have a Bloomberg Terminal at my disposal, which I would like to use for this. In a first step, I need to ...