How to get the currency headged data for bond indicies ?

snumata
snumata
in Datastream

DSWS

I would like to get the historical value of total return on FTSE World Government Excluding Japan Bond Index with JPY currency headged. I only can get the data of $ base - DSWS mnemonic FTSWGNJ and not able to find it in JPY. Please advise how to get to the similar caluculated value in JPY in python.

The same as for DSWS mnemonic - IBTRYML　IBoxx$ Treasuries 7 - 10 Years. I would like to get with JPY headged


Regards,

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @snumata

    Thank you for reaching out to us.

    If you mean the currecy conversion in DSWS, you can use the following code. 

    df=ds.get_data(tickers="FTSWGNJ",fields=["X(RI)~Y"], kind=1)
    df

    The output is:

    1699341966301.png


Answers

  • snumata
    snumata

    @Jirapongse

    Thank you for the response.

    To convert a dollar-denominated index return into a yen hedge, the hedge cost must be converted.

    For example, if I want to convert monthly returns into yen hedges, the following formulas are used. Could you advise what python code to use ?

    1:

    "Hedging Cost (1M, annualized) = USDJPY 1M forward point/100/USDJPY spot rate*12"

    =JPY1MFP with data field ER(Exchange Rate - Middle) /100/ TDJPYSP with data field ER *12

    2:

    "Index Return (Yen Hedged) = Index Return (Dollar Base) + Hedging Cost (1M, annualized, end of previous month)/12 "

    =FTSWGNJ with data field RI(Total Return including dividend, interest) + Previous month's Hedging cost / 12

  • Jirapongse
    Jirapongse

    @snumata

    This forum is aimed at answering "how to" types of questions about using Refinitiv APIs and the moderators are not Content/Data specialists.

    For content availability type questions, please contact the Datastream WebService support team directly via MyRefinitiv. The support team can verify how to retrieve or calculate the required data via the Datastream WebService.

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