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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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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7k 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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1k 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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58 views

Why Bloomberg USD swap curve (YCSW0023 Index) changes last month?? and why put a Financial commodity future into this curve?

The Bloomberg USD swap curve (YCSW0023 Index) had changed and bloomberg put a Financial commodity future. Why changes? What the factor make this changes? Why bloomberg put into a financial commodity ...
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76 views

Valuing TRYUSD currency swap on Bloomberg

Usually a leg in a swap is discounted using the corresponding OIS curve if the deal is collateralized and if collateral is posted in a different currency teh discounting happens with the corresponding ...
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62 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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0answers
427 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 ...
2
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1answer
3k 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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26 views

Which is the “correct” 5Y5Y Inflation Expectation on Bloomberg, and what are the differences?

When the market talks about 5Y5Y expectation, is it referring to FWISUS55 Index, or G0169 5Y5Y BLC2 Curncy on Bloomberg? I ...
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55 views

How to connect Bloomberg's xbbp api to “Bloomberg Anywhere”

Due to COVID's remote work situation I found myself unable to access my physical terminal so I've had to use bloomberg anywhere (bba), the issue I'm having is that when I try to use python's xbbg on ...
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58 views

Download data from Bloomberg with R

I was trying to download daily data from a few tickers from Bloomberg with Rblpapi. I wanted all calendar data, not just trading days, but, when I put these options,...
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66 views

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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151 views

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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108 views

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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56 views

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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60 views

How can I get real-time CDOR rate, swaps, and options pricing data refreshed on a daily basis in Excel?

I'm currently using "Bloomberg Anywhere", which is the same as Bloomberg Terminal except account-specific rather than PC/hardware-specific. I currently have to refresh the rates every morning at ...
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97 views

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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70 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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82 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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36 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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708 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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537 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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567 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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409 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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441 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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189 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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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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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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98 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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1answer
779 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 ...
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49 views

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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30 views

Bloomberg excel overrides

I'm looking to obtain SPX index quarterly returns for the past 10 years in Excel. I'm trying to use this BDP formula (=BDP("SPX Index", "CUST_TRR_RETURN_HOLDING_PER", "...
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30 views

Extract Accrued Interest in R using Bdlpapi package

I want to extract the accrrued interest of a bond in R using Rblpapi package, so my function is: bdp(securities = "CA135087D507@BGN Corp",fields = "INT_ACC", "SETTLE_DT=20200413") but this error is ...
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84 views

How can I download NYSE market capitalization by using Data Stream?

I am downloading the monthly New York Stock Exchange (NYSE), AMEX and NASDAQ's market capitalization between 31/12/1991 and 31/12/2019 on DataStream. Firstly, I tried to use both 'NYSE composite' and ...
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35 views

Why TAS contract for CME gold futures expires earlier than the CME gold futures?

As you see in Bloomberg, the TAS(Traded at Settlement) contract for CME gold(for e.g. TASZ9 COMDTY) expires in 26/11/19. Whereas CME Gold(e.g. GCZ9 COMDTY) expires in 27/12/19. Why is this so?
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43 views

Bloomberg - retrieving historical index values

I am looking at a Bloomberg index which goes out into the future (i.e. a mix of past realizations and future projections) - WNDFTTDE Index (Past and future wind capacity in Germany). While this ...
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2k 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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150 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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59 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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2answers
1k 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") ...