9 votes

Market Data Sources Bloomberg Vs Reuter

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 ...
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  • 191
9 votes
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Difference between the two Bloomberg codes

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/
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  • 236
8 votes
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How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

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 ...
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7 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.
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  • 71
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 ...
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  • 1,349
6 votes
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Bloomberg implied volatility smile for equities

please go to {drvd} BVOL Equity Implied Volatilities Calculations paper. Disclamer: I was working for Bloomberg, that is as far we disclosed.
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6 votes
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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 ...
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  • 10.9k
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 ...
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  • 153
5 votes
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Bloomberg tick data timezone offset

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 ...
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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 ...
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  • 10.9k
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 ...
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  • 51
5 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 ...
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  • 81
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 ...
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5 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 ...
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  • 5,345
5 votes
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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 ...
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  • 5,335
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 ...
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  • 4,798
5 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 ...
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  • 4,798
4 votes
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Bloomberg-alternatives for intraday stock price data?

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.
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  • 5,649
4 votes
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Why does Bloomberg's HRH test the simple returns for normality?

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 \...
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  • 20.5k
4 votes
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How do I calculate approximate equity liquidity?

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 ...
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  • 890
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 ...
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  • 1,162
4 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 ...
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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 ...
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  • 8,089
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 ...
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  • 1,708
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 ...
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  • 7,702
3 votes

Integrating R with Bloomberg

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

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 ...
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  • 10.9k
3 votes

comparing total returns from various data vendors

The best way to answer the question is to look at the data. For example, on H&M in April 2000: ...
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  • 890
3 votes

Export security description data from bloomberg into excel

If you just need the description you can use =BDP(TICKER,"CIE DES") directly in Excel.
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  • 890
3 votes

Bloomberg implied volatility smile for equities

Generally Bloomberg is very open with their methodologies. Look up the documentation as recommended above, and if you have further questions you can ask HELP HELP to put you in touch with someone on ...
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