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The paper I'm reading refers to "bloomberg dataseries" in the following formats (using Australia as an example): Exchange rates: AUD/USD for London close: "AUDUSD CMPL Curncy". AUD/USD for New York close: "AUDUSD CMPN Curncy". Government yields: AUD for London close: "ADSW2 CMPL Curncy". AUD for London close: "ADSW2 CMPN Curncy".
Usually the composite ticker will end with country code: IBM US, AAPL US, 1 HK etc. The Bloomberg exchange ticker will end with Bloomberg allocated exchange code: IBM UN (NYSE), AAPL UW (NASDAQ) etc. Thanks for getting back on this. As your update is pretty much an answer to your original question - you could also consider posting it as such.
Be careful of your rate conventions! The issue here is that all your rates are expected to be in units of domestic vs 1 unit of foreign. So for example USDCAD is 1.3347, you really need to be using 1/1.3347 = 0.749 USD per 1 CAD.
3 year US Sovereign Strips Yield: 0.633% (BEY) According to the straight-line method the Yield for 2.826 year is 0.5808% (BEY) While the interpolated 2.826 year Yield is 0.619% from Blg interpolation function (BEY) in addition, the additional information is below. 1 year US Sovereign Strips Yield: 0.11% (BEY)
2017年7月14日 · 3. BDP () is for current data, to get past data at a specific time or range of times you use BDH () (where H refers to Historical Data) Try for example. This will search the time interval from 3:00:00 and 3:00:01 and give you the price of the last trade in that interval, in other words the most recent price as 3:00:01.
2023年10月11日 · $\begingroup$ Thank you for your kindly response. I would like to ask short 2 questions. If the Implied yield is greater than the direct USD interest rate (spread is positive) , what does it mean? 1- This means that positive FX swap basis spread reflects a premium to borrow U.S. dollars in the FX swap market, meaning that borrowers pay a higher cost for obtaining funds than the relevant U.S ...
2022年10月18日 · I'm currently reading bloomberg's paper "Building the Bloomberg Interest Rate Curve – Definitions and Methodology." but I cannot rederive the discount rates even for the most simple terms. I found a similar post here How Bloomberg calculates discount rates for zero rate curves? but computations are not included.
2023年10月18日 · 10/20/2023-10/20/2024. 1-How does one calculate the cross currency swap basis SPREAD (-21.311 pips)? 2- Is this the basis spread formula? @AKdemy. As @AKdemy highlights that is not a mkt standard Xccy swap, becuase it is fixed fixed.
I managed to figure out the methodology by following your thread: for any day t and t+1: interpolate the interest rate from underlying curve, then get their zero rate respectively, then divide the two zero rate and annualize the result will give you the forward rate from day t to t+1. really appreciate your help mate! – pqsn. Aug 13, 2018 at ...
2016年11月23日 · Caps: Interest Rate Caps are a sequential series of interest rate options called caplets sharing the same strike. For a given (quoted price) of the cap, the implied vol (Black or Normal) is defined as the single vol applied to every caplet in the cap that delivers the given price of the cap - in the respective model.
