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
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
3
votes
Bloomberg access from publishing platforms such as Posit Connect
There is a reason why you need to be logged on the bloomberg terminal - it is a desktop solution. As such, you are not allowed to share / distribute or use your data on an enterprise level or with ...
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3
votes
How to Bloomberg compute the implied Yield ? What is FX swap basis spread?
In my opinion the first column is the market EURUSD FX forward BID rate. So they find the market price 1.062732.
It looks like it is a spread between Implied USD Yield and market USD Yield.
In my ...
3
votes
Bloomberg FWCM vs FWCV
It will depend on what you need.
The calculation method itself is based on the same formula in any case. However, from the top of my head, FWCM always uses piecewise linear (Simple-comp zero rate) ...
- 8,143
3
votes
Is LEI and Bloomberg Ticker one to one mapping. How about LEI, Bloomberg Ticker, Bloomberg ID, ISIN and CUSIP?
Best to ask the help desk.
You can apply the following logic.
What the formula will return will reflect the settings you have on your CNDF and ...
- 8,143
3
votes
Accepted
Risk-free yield curve creation for Euro
For Bloomberg, there are technically two swap curves that could work:
-ICVS 133 for EUR OIS and
-ICVS 514 for €STR.
I agree with ...
- 8,143
3
votes
DI futures contract value on bloomberg
You're talking about the future Bloomberg calls 'ODA Comdty' (e.g. 'ODF21 Comdty'), and the BMF exchange calls DI1. It uses a non-linear contract multiplier. To convert from the quoted price to the ...
- 31
3
votes
Accepted
How does Bloomberg compute the cross currency swap basis?
Your second screenshot is not a standard XCCY swap because you look at two fixed rates. You cannot expect that to match the FXFA screen in any case because FXFA uses two floating rates, USD yield and ...
- 8,143
2
votes
What is "position" when referring to the holders of a bond?
In general, for bonds, loans, and other debt instruments, "position" on reports usually, not always, shows the original face value. For example, the bond issuer promised to pay 10 million, ...
- 11.9k
2
votes
what is the definition of resetting tenor and time to maturity tenor in libor rates
This is something I think the help desk (F1F1) would have answered with ease.
S0023Z 25y BLC2 is a derived Zero
Rate from US 3m LIBOR fixed to float (FXFL) interest rate swaps. The tenor in this ...
- 8,143
2
votes
Calculating the Delta of FX option
What you look at here is not a normal option. The type is called DIVA, which stands for digital vanilla, which is a binary option.
Bloomberg computes this via a tight spread. However, you have a few ...
- 8,143
2
votes
How does Bloomberg use the OIS curve to get the zero rates?
If you take screenshots, it helps if you do not cut off the important parts - or at least mention where the screenshot is from. Usually, ICVS is where one would ...
- 8,143
1
vote
Difference between two Bloomberg codes SIX Market
SE is the SIX exchange, SW is the composite for Switzerland (which I think in this case is the same thing because Richemont is only listed on SIX in Switerland).
A more self-explanatory example is GY (...
- 940
1
vote
Bloomberg access from publishing platforms such as Posit Connect
Can you run a local proxy that has access to Bloomberg and access that from Posit or Anaconda.
However, you need to check your contract with Bloomberg: Is what you’re trying to do even allowed? Maybe ...
- 8,438
1
vote
Accepted
What could the cashflows of US0SFR1Z Curncy be?
The DES page always displays very generic information, the basic SOFR swap conventions in the case of US0SFR1Z.
Settlement, term and quote are all for the specific ...
- 8,143
1
vote
Accepted
Bloomberg FXFM: what is the point of knowing risk neutral probabilities?
Risk neutral probabilities are immensely useful. As you might know, they are the building blocks used to calculate derivatives prices across most asset classes. An entire industry is based on that.
...
- 16.6k
1
vote
Intraday (non-tick) Historical Data - Bloomberg Python API
It's really a help desk question (F1 F1 will not support the Python API, but WAPI will have the info) - and they most likely ...
- 8,143
1
vote
Understanding FX forward points and market usage
Your wrote
ON : Does it mean I could buy today 100,000 USD at 20.4579 MXN,
but tomorrow I would have to sell those 100,000 USD ... ?
No, it is the opposite. By ...
- 10.9k
1
vote
Spread duration curve by issuer or by sector
Answering my own question many years later. There is no way to plot the term structure of spread duration in BBG. The best I was able to accomplish is, for a specific sector, use a selection of ...
- 11
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