Description of variables using get_historical_price_summaries() on a bond index?

ricardo.henriquez
ricardo.henriquez
in Refinitiv Data Platform Libraries

Hello,

I'm looking for information and descriptions of the variables returned in get_historical_price_summaries(), where universe is a bond index. I cannot find such descriptions on the CodeCreator App.

I have the following code:

df_data=rdp.get_historical_price_summaries(
        universe = '.IBBEU010B',
        start = '2004-01-01',
        end = '2021-07-01',
        interval=rdp.Intervals.DAILY)
display(df_data)

The df_data has the following columns:

Index(['TRDPRC_1', 'MOD_DURTN', 'YIELD', 'DURATION', 'AVG_LIFE', 'CONVEXITY',
'MTD_HPDRTN', 'BPV', 'OAS', 'MAC_DURTN', 'CPR_RATE', 'TOT_RETURN',
'TRTN_3M_H', 'EXS_RTN_H', 'TRTN_1Y_H'], dtype='object')

From their names, it is easy to assume a few of them. However, I cannot decipher what does 'MTD_HPDRTN' means. Regarding 'EXS_RTN_H', where do I find which benchmark is used?

'TRDPRC_1' = Traded Price
'MTD_HPDRTN'= ?
'TRTN_3M_H' =? 
'EXS_RTN_H' = ?
'TRTN_1Y_H' ?

Thanks!

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Best Answer

  • umer.nalla
    umer.nalla
    Answer ✓

    Hi @ricardo.henriquez

    Unfortunately, most of the moderators on these Q&A Forums are not Data content specialists.

    Therefore, you can raise a Content ticket at My.Refinitiv - so that the relevant expert can help you.

    You can also try using the Data Model Discovery tool which for example, describes MTD_HPDRTN as Month-to-Date Paydown Return - Hedged.

    For the EXS_RTN_H field, the Content team should be able to advise on which benchmark is used also.

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