9

There are a few things to consider: Price On average Thomson Reuters is known to be less costly than Bloomberg. One thing to consider when looking to save money is that most vendors will use some kind of ladder pricing. So if you cannot get rid of either Bloomberg or Thomson Reuters completely then you may not save as much as you expected. Technology ...


9

UW = NASDAQ Global Select Market US = US Composite source : http://bsym.bloomberg.com/sym/pages/pricing_source.xls see also : http://bsym.bloomberg.com/sym/


8

None of the previous answers have mentioned the fact that Bloomberg supports an API with support for all the main languages (C, C++, Java, Python, Perl -- and even Node and Haskell support on GitHub), on all the relevant operating systems: Windows, Linux, OS X, Solaris. This includes support for tick data which is stored in a rolling window (ie from ...


7

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 consider using an excel sheet that was populated with data from a terminal on another machine to be a violation of the terminal agreement. If you use their B-PIPE, then the license is a bit more ...


6

Here is what you can definitely use: Thomson Reuters Eikon


6

please go to {drvd} BVOL Equity Implied Volatilities Calculations paper. Disclamer: I was working for Bloomberg, that is as far we disclosed.


5

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 company renames, merges, relocates, the identifier may change. Some symbology systems operate on different levels of granularity whereby prices can be filtered to ...


5

Macrobond, a swedish company might be something to consider. http://www.macrobond.com/


5

It turns out that the Bloomberg Terminal QR function, when adjusting the timezone from Exchange/UTC to your timezone, will convert the time but not the day. Trades displayed via IntradayTickRequest API are correct in UTC time, trades displayed via Bloomberg Terminal QR may be incorrect due to failure to adjust the stated date for timezone adjustments.


5

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 coupon effect – given two bonds maturing on the same day and assuming the yield curve is upward sloping, a higher coupon bond will always have lower yield. What ...


5

You can use the field INDX_MEMBERS to get the constituents. In excel you can use: =BDS("Index Ticker", INDX_MEMBERS) Or in python something like import pybbg def Main(): bbg = pybbg.Pybbg() IndexConst = bbg.bds('IndexName', 'INDX_MEMBERS')


5

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 are packages built on top, such as pdblp that, in my opinion, are very good but not required by most people.


5

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 bond in QuantLib using the SimpleThenCompounded parameter. import QuantLib as ql settlementDate = ql.Date(30,12,2020) issueDate = ql.Date(17,1,2019) ...


4

(P) prefix : As a service to the market and typically at the request of an issuer, Moody's will assign a provisional rating when it is highly likely that the rating will become final after all documents are received, or an obligation is issued into the market. A provisional rating is denoted by placing a (P) in front of the rating. Such ratings may also be ...


4

CME group has free Swap curves. It also seems that they have quotes on the product feature page. Hope this works for you, -if it does, maybe you can comment about the costs when you find out. Thanks.


4

PX_BID and PX_ASK are the static equivalents of BID and ASK, the latter two of which populate in "real time" (i.e. as they are dynamically updated). So the PX_BID and PX_ASK values are dependent upon when you pulled the data. Bloomberg's source depends on the asset in question and the exchange on which they are listed, but the data does come from the ...


4

Reuters is making a huge push with their Eikon terminals. I think their prices are under NDA but you can often get one at a big discount to the $1700/month the Bloomberg charges and they are starting to close the feature gap. You'll still need to pay the market data fees if you want real time quotes, but those fees can often be in the low 100/month range ...


4

Complete intraday data history can be obtained through the Thomson Reuters DataScope Tick History (TRDTH) archive: http://thomsonreuters.com/tick-history You may ask them for a trial subscription.


4

For small changes, the log-return $\ln \frac{S_{t_i}}{S_{t_{i-1}}}$ is close to the simple return $\frac{S_{t_i}-S_{t_{i-1}}}{S_{t_{i-1}}}$: \begin{align*} \ln \frac{S_{t_i}}{S_{t_{i-1}}} &= \ln \Big(1+ \frac{S_{t_i}-S_{t_{i-1}}} {S_{t_{i-1}}} \Big)\\ &\approx \frac{S_{t_i}-S_{t_{i-1}}}{S_{t_{i-1}}}. \end{align*} Note also that, assuming the SDE \...


4

You can use refined methodologies but if you just need a rough estimation of liquidity, you can simply use an average of daily volume over N days. In practice, for equities, people tend to use N = 20 or 30. Once you have the average daily volume (say 100,000 shares), you compare it to your holding (say 50,000 shares) to determine the the size of your ...


4

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 question doesn't depend on this fact, and take a "general" 1Y option. Your today's (date $t_0$) cube loses the "swap tenor dimension" and becomes a today's ...


4

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 AAA (German) EUR Government Bonds. These are essentially treated as riskless investments with an active and liquid secondary market. You can sell the bonds at ...


4

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 Splits/Spin offs (and many other things) or not, adjust to account for dividends or not. If you are downloading this data through the api (say excel), you can ...


4

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 correlated in stress periods. Here are some stress periods and the correlations for SPX and gold (and silver): However, if you include normal periods, then the ...


4

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 be stocks but they aren't used directly and such an analysis of the derivatives would be incomplete if you just look at the outcomes of your CAPM or FF model.


3

Are you aware of the findata.org site and its directory? The code is also in a bazaar repository as well as GitHub repo.


3

For the US Treasury market, zero coupon bonds are traded and they are called STRIPS. You can access them through "S GOVT" (coupon Strips) or "SP GOVT" (principal strips) on BBG. With regard to relative value trading, it's actually pretty rare that we fit models to zeros, because a lot of them are not liquid and trade differently from their coupon ...


3

They represent the current BID and ASK at the time you query them. If you look up those fields in the terminal FLDS<GO> you will see they are marked as reference data, that means they are not continually updated. They are refreshed each time you query them. They come from the NBBO quote at the time you query them.


3

The best way to answer the question is to look at the data. For example, on H&M in April 2000: Close Price Div 31/03 240 13/04 236 14/04 225 1.35 28/04 238 ThomsonReuters, Bloomberg and Factset do the following calculation for the return (+/- rounding): r = 236/240 * (225 + 1.35)/236 * 238/225 - 1 = -0.24% This ...


3

If you just need the description you can use =BDP(TICKER,"CIE DES") directly in Excel.


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