Forex on past and futures dates equivalent bloomberg api

ty
ty
in Eikon Data APIs

Hi, in Excel Addin or API from Bloomberg, you can get the BID and ASK price from a forex like this:

bdp(securities = "EUR/USD N 102320@091620 Curncy",
    fields     = c('PX_BID', 'PX_ASK'))

Is there something similar to get exchange on specific future date on historical date?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    @ty

    As in the use case discussed on this thread, you can utilize Refinitiv Data Platform Library for the purpose of calculating FX Fwd points or outrights for a given Fwd end date as of a historical date.

    from refinitiv.dataplatform.content.ipa.contracts import cross
    from refinitiv.dataplatform.content.ipa import FinancialContracts as fc
    fwd_contract = cross.Definition(fx_cross_code='EURUSD', 
                                    fx_cross_type='FxForward',
                                    legs = [cross.LegDefinition(
                                        end_date = '2020-10-23')])
    calc_params = cross.CalculationParams(valuation_date = '2020-09-16', 
                                          price_side = 'Ask')
    response = fc.get_cross_analytics(fwd_contract, 
                                      fields = ['ValuationDate',
                                                'StartDate',
                                                'EndDate',
                                                'FxSwapsCcy1Ccy2', 
                                                'FxOutrightCcy1Ccy2'],
                                      calculation_params = calc_params)
    display(response.data.df)

Answers

  • chavalit-jintamalit
    chavalit-jintamalit admin

    Hi @ty

    You may consider using RDP Library(Desktop session)

    Please install refinitiv.dataplatform Python package:

    pip install refinitiv.dataplatform

    And this is sample code:

    image

  • ty
    ty

    Actually, this solution just gives the historical price of 1M tenor. This Bloomberg formula gives the price of a currency in a reference date, so if the consulting date is greater than the reference date, it gives the swap point interpolation value for that date. It’s real useful if I want historical MtM for an active in my wallet based on a forward curve.

    Considering the other question I did on another post, I think there is no solution from Refinitiv.

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