How to get a bond index cash flow in DSWS using python?
I would be interested to get the cash flow generated by all the instruments (fixed income) underlying an index. Is it possibile in DSWS via Python to get the stream of cash flows without downloading all the index constituents and then calculate for each of them the cash flow?
Best Answer
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Hi @marco.bolognesi ,
You can search for data types in the Datastream search tool. Below is a link to this tool already filtered (at the top left) for Bond Indicies (you can filter some more with the pannel to the left):
We also have a guide on this topic:
Do let me know if the above is not enough to go on; in that case, would you mind letting me know examples of bond indices you are interested in?
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Answers
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Thanks @jonathan.legrand for the feedback. I had a look to the different datatypes but I did find what I need. Actually, what I mean is to get the cash flow payments per year (i.e. 2021, 2022, 2023, and so on) that the underlying bonds of an index would produced, considering both principal repayment and coupons).
In theory, you could do that having all the constituents bonds and calculating for each of them the stream of cash flow and then aggregate them by year. Of course this would require lot of data download. I do not know if it is something available and already calculated for some fixed income indices (for example Bofa).
Hope this could help.
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I know you asked specifically about Datastream, but - if you had rdp - would the following fulfill your need?
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