11 votes
Accepted

How to Bloomberg compute the implied Yield ? What is FX swap basis spread?

1 ) The value 1.062732 is the Forward outright as quoted on FRD. Your pricing source is BGN (Bloomberg Generic New York). That ...
AKdemy's user avatar
  • 9,059
9 votes

Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?

Short Version Market standard (since the low interest rate environment after 2008) is to use Normal Vol (used in the Normal / Bachelier model) Market data comes from contributors like Tullett, ICAP ...
AKdemy's user avatar
  • 9,059
8 votes

What does the prefix PX stand for on a Bloomberg Terminal?

Px is a French abviation of price (prix) and often used in financial markets, before bloomberg ever existed.
James's user avatar
  • 81
7 votes
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Bloomberg data redistribution policy

Hit <BREP> GO on your terminal and ask. Though if you have just the terminal then the answer is most likely no. They allow you to publish charts but they ...
chollida's user avatar
  • 1,359
7 votes
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Calculate strike from Black Scholes delta

This is a little more complicated than the answer provided above since this is FX and the convention for determining the strike matters. https://www.researchgate.net/publication/...
FinanceGuyThatCantCode's user avatar
7 votes
Accepted

Data on historical, cross-country nominal yield curves

First, a quick comment on Bloomberg symbols such as USGG10YR. These are actually yields on "generic bonds"; typically these are benchmark, on-the-run ...
Helin's user avatar
  • 11.6k
6 votes

Px last in Bloomberg

What is px_last is rather complex and will depends on the terminal options installed where you downloaded it. Type DPDF to see what are your settings. You can adjust closing price to account for ...
Stravog's user avatar
  • 91
6 votes
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Bloomberg bond clean price and accrued amount differs from Quantlib

Several things might be affecting your result. Check if all the conventions are correct, namely the daycount. Regarding, the compounding on the last period, I can replicate Bloomberg's price for that ...
David Duarte's user avatar
  • 5,795
6 votes
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Quantlib: day-by-day evaluation of option value

The language below is not Python, but Julia because I already had this code. However, the syntax is sufficiently similar to Python so it should be possible to follow the logic. I replicate both ...
AKdemy's user avatar
  • 9,059
6 votes

BLOOMBERG Strike vs Straddle Volatility

Generally, best to ask the help desk (F1F1) for simple questions like this. See help VCUB {LPHP VCUB:0:1 2824936 <GO>}: Cube Options: Allow you to display or ...
AKdemy's user avatar
  • 9,059
5 votes

Mapping symbols between tickers, Reuters RICs and Bloomberg tickers

Each vendor has their own symbology universe and each exchange, market, or country may have their own standard identifiers. To date the majority of identifiers have also been dynamic, i.e. when a ...
Steve-o's user avatar
  • 153
5 votes

Constructing yield curve directly from yield-to-maturity data

Unless all of your yields are par yields (yield of bonds trading at par), you'll get very unreliable results if you fit your curve using yields alone. This is because yields can be distorted by the ...
Helin's user avatar
  • 11.6k
5 votes

Getting Index constituents along with returns from Bloomberg

You can use the field INDX_MEMBERS to get the constituents. In excel you can use: =BDS("Index Ticker", INDX_MEMBERS) Or in ...
dfelex's user avatar
  • 51
5 votes

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

Better late than never. There are lots of nuances to consider when pricing options. The help desk should have been able to point you towards a solution. I do not think they will (be able to) replicate ...
AKdemy's user avatar
  • 9,059
5 votes

Do quants need to know bloomberg terminal and VBA?

(these are just my random opinions. Sorry, I expect many people to disagree with some of them.) Bloomberg makes no effort to make its terminals available to students - quite the opposite. Hence lots ...
Dimitri Vulis's user avatar
5 votes

Python libraries for bloomberg?

I have experimented with various choices quite a bit. My advice is to use vanilla blpapi . There are many good examples in the git repository. Some helpful installation notes are also here . There ...
Dimitri Vulis's user avatar
5 votes
Accepted

Trying to check this 1Y1Y forward treasuries calculation

I pulled up the Bloomberg page you referenced in your question. The rates you are referencing are not zero rates but yields on the coupon note/bond that are used to construct the curve. Toggle the ...
AlRacoon's user avatar
  • 6,097
5 votes

Question about swaption premium quote on the bloomberg terminal

EUSP0101 Curncy DES Style is Straddle (like almost all premium quoted swaptions - and ATM FX options for example, although the latter is quoted in VOL), thus the quoted premium is the sum of payer ...
AKdemy's user avatar
  • 9,059
4 votes

Calculate strike from Black Scholes delta

Just to skip to solution from the aforementioned paper: For a volatility surface of Delta $\Delta$ vs volatility $\sigma$, we can calculate the strike $K$ with underlying $f$,$\phi$ is 1 for call, -1 ...
rbonallo's user avatar
  • 161
4 votes
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IR Swaps - Curve sensitivity at maturity node

The value of a $T$ year payer swap on a coupon payment date at time $t$, or a new swap that is about to be traded today time $t$, is given by $$V(t) = (S(t,T)-C) \sum_{i=1}^N Z(t_i) \Delta_i$$ where ...
Dom's user avatar
  • 2,147
4 votes

IR Swaps - Curve sensitivity at maturity node

This is a common confusion, and it comes down to the difference between forward rates and swap rates. Swap rates are essentially the integral of forward rates (just like zero coupon rates). The ...
atkins's user avatar
  • 264
4 votes
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Swaption valuation across time using vcub

Forget for a moment that your option is delivering the immediate entrance in a swap (if the swaption is physically settled) or the cash amount of the swap (if the swaption is cash-settled), as your ...
Olórin's user avatar
  • 1,223
4 votes
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Availability of GC Repo Rates for Different Maturities

Imagine you are an Asset Manager with Eur 1bn and you would like to retain this in as riskless and liquid means possible. What can you do? There are practically 2 things worth doing: Buy short dated ...
Attack68's user avatar
  • 9,939
4 votes

Px last in Bloomberg

If you are interested in a Total Return Index, rather than a Price, you could also let Bloomberg compute it for you by retrieving the field TOT_RETURN_INDEX_NET_DVDS (instead of PX_LAST). An advantage ...
nbbo2's user avatar
  • 11.2k
4 votes
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Correlation Gold and SPX in BBG

I do not think that you were terribly wrong thinking that gold and SPX (or equity market in general) are negatively correlated. The reason behind this is that gold and stocks are in fact negatively ...
AK88's user avatar
  • 1,840
4 votes

Where can I find caplet implied volatility data?

VCUB will not show caplet vol but shows cap vol (as one of the inputs). Caplets are a sequential series of interest rate options (that together form the cap). You ...
AKdemy's user avatar
  • 9,059
4 votes

How do we analyse the future and option market on the base of the Fama-French model?

One generally doesn't. The CAPM and by extension the Fama French (FF) model are used to analyse stocks. Of course, you can use these models on the underlying of futures or options if these happen to ...
Bob Jansen's user avatar
  • 8,543
4 votes

Data source for FX options

If you think of New York and London as cutoff, that doesn't exist as a market quote (white instead of amber in OVDV as it is interpolated). BGN and BGNL stands for New York and London daily close ...
AKdemy's user avatar
  • 9,059
4 votes

Understanding FX forward points and market usage

There are two relevant sections on the help page, the direct links (e.g. if you have it in an IB) look like this: {LPHP FRD:0:1 2898067 }: ON ("Overnight"), TN ("Tomorrow-Next"), ...
AKdemy's user avatar
  • 9,059
4 votes

FX Option Vol Quotes (Days or Days+Time to Expiry)

Most appropriate pricing will use the exact time to expiry. OVML is neither a trading tool (FXGO would be at Bloomberg) nor an order management system (...
AKdemy's user avatar
  • 9,059

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