9
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 ...
- 8,143
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.
- 81
7
votes
Accepted
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 ...
- 1,359
7
votes
Accepted
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/...
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 ...
- 11.4k
6
votes
Which models do Bloomberg/Reuters use to derive implied volatility for interest rate derivatives with negative forward rates?
Short Version
Market standard is to use Normal Vol (used in the Normal / Bachelier model)
Market data comes from contributors like Tullett, ICAP and the like and can be premium and vol quoted etc.
...
- 8,143
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 ...
- 91
6
votes
Accepted
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 ...
- 8,143
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 ...
- 8,143
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 ...
- 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 ...
- 11.4k
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 ...
- 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 ...
- 8,143
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 ...
- 11.9k
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 ...
- 11.9k
5
votes
Accepted
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 ...
- 5,685
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 ...
- 5,662
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 ...
- 8,143
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 ...
- 161
4
votes
Accepted
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 ...
- 2,137
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 ...
- 264
4
votes
Accepted
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 ...
- 1,223
4
votes
Accepted
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 ...
- 9,215
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 ...
- 10.9k
4
votes
Accepted
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 ...
- 1,830
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 ...
- 8,438
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 ...
- 8,143
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"), ...
- 8,143
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 (...
- 8,143
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:
...
- 940
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