Questions tagged [bloomberg]

Bloomberg L.P. is a privately held financial software, data and media company headquartered in New York City.

Filter by
Sorted by
Tagged with
1
vote
1answer
925 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 ...
0
votes
1answer
377 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 ...
0
votes
1answer
145 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 ...
2
votes
1answer
877 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, ...
0
votes
1answer
298 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: ...
-1
votes
1answer
309 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 ...
0
votes
1answer
2k 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 ...
2
votes
0answers
121 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 ...
0
votes
0answers
148 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 ...
-1
votes
1answer
451 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? ...
0
votes
1answer
5k 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 ...
0
votes
1answer
158 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:...
-1
votes
4answers
2k 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 ...
1
vote
1answer
365 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 ...
-2
votes
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") ...
1
vote
0answers
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 ...
0
votes
1answer
2k 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 ...
0
votes
1answer
1k 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 ...
1
vote
0answers
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: ...
3
votes
1answer
882 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 ...
2
votes
2answers
7k 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 ...
2
votes
1answer
565 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?
0
votes
1answer
1k views

How is Bloomberg's fixed-equivalent yield on a floater calculated?

What is fixed-equivalent yield and how is it derived? Thanks!
1
vote
2answers
6k 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.
2
votes
2answers
827 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 ...
0
votes
0answers
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 ...
0
votes
1answer
18k views

Price at Specific Time from Bloomberg

I have a file where I easily export real-time prices to excel using the Bloomberg Add-In, using the formula BDP. Is there a way to get these prices of a specific time? For example, =BDP("EURGBP ...
1
vote
1answer
668 views

Instantaneous Forward Rate from Bloomberg

I am calibrating the Hull-White model which involves finding the level of mean-reversion from the market instantaneous forward rate? Is the market instantaneous forward rate directly available from ...
2
votes
0answers
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, ...
1
vote
2answers
921 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 ...
0
votes
2answers
161 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 ...
0
votes
2answers
5k views

EUR Implied Forward Rate from Bloomberg

does anyone know about the EUR Forward Implied 3 Month Rate published by Bloomberg on the Bloomberg Page EURI3M ? First question: this is the rate from a forward curved, forward curve being ...
1
vote
1answer
4k views

What are Generic government treasury bonds? (Bloomberg terminal)

I have a project at school were we are supposed to find the generic series for US treasury bonds, and then download daily data for 3 years. I have found the bb ticker, but i don't understand the ...
1
vote
4answers
1k 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 ...
1
vote
0answers
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 ...
0
votes
1answer
519 views

Does Bloomberg Terminal have access to CRSP “permno”s, Compustat GVKEYs?

CRSP has a nice, permanent identifier system for securities known as "permno"s. I don't have access to a Bloomberg terminal, but am considering the investment. Does the Bloomberg terminal know these ...
1
vote
1answer
1k views

How does Bloomberg arrive at stub rate for swaps/floaters?

I'm trying to interpolate initial stub rate ( 'Index to' in the image ) for the following FRN pricing example. Fixes on 2016/11/30 1m : 0.623670 2m : 0.742500 3m : 0.93417 Please be as specific as ...
1
vote
1answer
778 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 ...
0
votes
1answer
1k views

Bond characteristics using Bloomberg in Excel

I would like to retrieve bond characteristics (bond type, coupon type etc.) for corporate bond ISINs using the Bloomberg Excel Addin. I tried ...
0
votes
1answer
310 views

How to Pull Dump of Old News Articles

My goal is to run a keyword search for phrases like "soybean acreage" or "corn yields" (keywords limited to ag. commodities), and construct a timeline of which dates articles with these key words are ...
-1
votes
2answers
603 views

Extract Corporate Bond volume

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...
0
votes
1answer
316 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 ...
-1
votes
1answer
2k views

Forward 12m EPS Growth and its Earning Revision using Bloomberg

I'm currently trying to figure out how to use data from Bloomberg to create some analysis on a company's performance using Excel/R. How can I find the Forward 12m EPS Growth, its 1m Earning Revision ...
1
vote
0answers
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 ...
2
votes
4answers
4k views

IR Swaps - Curve sensitivity at maturity node

I was recently trying to price some IR swaps in BBG. I noticed that when I shock the yield curve up by 1bps at a single specific node, the DV01 is close to zero except at the node nearest the maturity....
0
votes
1answer
1k views

Constructing yield curve directly from yield-to-maturity data

I'm trying to use Bloomberg yield-to-maturity data for sets of sovereign bonds of different maturities to fit to a yield curve. I looked into using the QuantLib library (the FittedBondCurve ...
3
votes
1answer
275 views

What is the benefit of having proximity to the Bloomberg datacenter?

I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ...
1
vote
0answers
440 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....
3
votes
1answer
128 views

What approaches are there for keeping local and remote order books in sync?

Scenario: developing a custom application which defines a structured workflow for manual order submission to Bloomberg EMSX; it should minimize own persisted state and rely on the remote order book as ...
2
votes
2answers
153 views

Creating index from bloomberg data in matlab

I'v got 6 different equity index time series from which I want to create an index based on a particular percentage. This would be simple although due to different holidays the date don't always match. ...