Historical CDS Prices
I have a number of equity and debt instruments, identified by their ISIN. I query the issuing organization's Primary CDS through field `TR.CDSPrimaryCDSRic`. For each of these RIC, I want to extract the daily, historical CDS spreads, using the Eikon API through Python on a Mac
This is where I run into problems because I fail to identify the correct field for the spread. Fields like `PRIMACT_1`,` TR.PriceClose`, `TR.FIPricingClosingPrice` did not produce the desired result.
ek.get_data(instruments=['BCOM5YEUAM=FN','WBSW5YEUAM=R'], fields=['TR.CDSType', 'TR.FIPrice', 'PRIMACT_1'], field_name=True, parameters={'SDate': '2013-01-01', 'EDate': '2013-01-30', 'DateType': 'AD', 'CURN': 'EUR'})
The (obvious) questions:
- Which field contains historical CDS price data?
- What makes a CDS a `primary CDS`, i.e. what is the field's definition, and could I obtain all CDS?
I appreciate your help.
0
Best Answer
-
Please try this code:
df,e = ek.get_data(['BCOM5YEUAM=FN','WBSW5YEUAM=R'],
['TR.CDSType', 'TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
{'SDate': '2013-01-01', 'EDate': '2013-01-30', 'DateType': 'AD', 'CURN': 'EUR'})
dfI could not get data for WBSW5YEUAM=R in the date range you provided.
If i change the year to 2018 I can get data point back for this RIC.1
Categories
- All Categories
- 6 AHS
- 39 Alpha
- 162 App Studio
- 4 Block Chain
- 5 Bot Platform
- 17 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 370 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 60 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛