How to get historical bond data?
Dear RDev Community,
I am looking to get historical data for bonds as "Credit Ratings", "OAS", "Prices" going back ten years, or so. Ideally on a monthly basis, at the end-of-month.
df_iboxx, err = ek.get_date(instuments=isin_iboxx, fields = ['TR.ISIN', 'TR.FIMoodysRating', 'TR.FIFitchsRating', 'TR.OptionAdjustedSpread', 'TR.FiPrice', 'TR.BIDPRICE', 'TR.ASKPRICE','TR.FiPrice'], parameters={SDate':'2019-12-01',Frq':'M',EDate':'2020-12-01'})
So far, with this code I managed to get only the historical Ask-Bid prices for each month. But the other variables appear only on the latest date (eg. 2020-12-01). Is it possible to get the historical values of the other criteria?
Since it is a large request, I need to split manually the code year by year. Do you have any function to do the data request and append automatically?
Thank you so much,
Best Answer
-
CodeCreator app in Eikon is very helpful for exploring the metadata (field names and parameters) for use with Eikon Data APIs. Field description as well as Parameters tab would show you that TR.FIMoodysRating and TR.FIFitchsRating fields only provide current rating. To retrieve history of issue ratings you can use field TR.GR.Rating. To specify the source of the rating use BondRatingSrc parameter, e.g. for Moody's Long-term Issue Credit Rating use TR.GR.Rating(BondRatingSrc=MDY). E.g.
ek.get_data('US345370BR09',
['TR.GR.Rating(BondRatingSrc=MDY).date',
'TR.GR.Rating(BondRatingSrc=MDY)'],
{'SDate':'-2Y', 'EDate':'0'})or
ek.get_data('US345370BR09',['TR.GR.Rating.date',
'TR.GR.Rating',
'TR.GR.Rating.RatingSourceDescription'],
{'SDate':'-2Y', 'EDate':'0', 'BondRatingSrc':'MDY:FTC'})Rating updates are an irregular event. Timeseries retrieved for TR.GR.Rating will not have a defined frequency. If you need to construct monthly timeseries from this data you need to do it in code. Eikon does not provide such capability. You can blend ratings with prices in the same request, which will get you close to what you're looking for, but you'd still need fill the gaps in ratings columns.
0
Categories
- All Categories
- 6 AHS
- 37 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 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
- 367 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
- 59 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛