Is there any way that Client can get the fixing for a bond with floating rate note for a historic da

VyaJunaine.Gutierrez

Hi Team,

Good day.

Is there any way that Client can get the fixing for a bond with floating rate note for a historic date?

He would like to get the data as per 2023-03-31, i.e what the coupon rate was as per 2023-03-31.

See below Client's current python code

rics,e3 = ek.get_data(list(issued_bonds['ISIN-kod']),"TR.RIC")

eikon_data,e3 = ek.get_data(list(rics['RIC']),["TR.FiIndustrySectorDescription","TR.FiIndustrySubSectorDescription","TR.FiIssuerName","TR.FiMaturityDate","TR.FiIssueDate",\

"TR.CouponRate","TR.FiCouponFrequency","TR.ADF_MARGIN","TR.ACCRUEDINTEREST","TR.FiOriginalAmountIssued","TR.FiFaceIssuedTotal","TR.IssuerRating","TR.FiIssuerSPLongRating"])

I will send 2 attachments from Client via dev advocate emails as I am unable to attach these files here.

m.bunkowski

Hi @VyaJunaine.Gutierrez

What if you try this approach.
Here you can get the full array of annual rates and the dates. You can either choose the trade date or calculate it from the issue date. Does it meet your requirements?

import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import bond
rd.open_session()
response = bond.Definition(
    instrument_code="XS0010276466",
    fields=[
        'CashFlowDatesArray', 
        'CashFlowAnnualRatesPercentArray'],
    pricing_parameters = bond.PricingParameters(
        trade_date="2020-06-01"
        #compute_cash_flow_from_issue_date = True 
)).get_data()

anass.yazane.1

Hi

Accrued Interest (Coupon Rate) can be calculated by specifiying calculation date in the past as below:

TR.ACCRUEDINTEREST(SDate=2023-05-21)

Regards

VyaJunaine.Gutierrez

Hi @anass.yazane.1 Thank you but as per Client unfortunately it did not work for Coupon Rate, but worked for accrued interest.

Can you kindly check back?

Thank you.

VyaJunaine.Gutierrez

Hi @anass.yazane.1 Thank you but as per Client unfortunately it did not work for Coupon Rate, but worked for accrued interest.

Can you kindly check back?

Thank you.

marcus.barthelson

Hi! I get the following error "No module named 'refinitiv'". Maybe that is because we have Eikon and not refinitiv?

Jirapongse

You need to install https://pypi.org/project/refinitiv-data/.

The library works with Eikon via the Desktop session. The examples are available on GitHub.

marcus.barthelson

Hi,

the problem is that we have the system Eikon and not Refinitiv so we cannot use "import refinitiv.data" I assume?

/Safia