Itraxx constituent historical prices

Elliot_Bryce

Dear All,

I would like to create a time series data frame, so dates on the left and then columns of daily prices of each security that consitutes the iTraxx Europe Series 42 Version 1 (Index Red 9: 2I666VDK8). I'd like the dates to be from 1st Jan 2020 to 1st Jan 2025. I cannot figure out how to get the prices directly from the refinitiv workspace so I'd be extremely grateful as this is for my final year dissertation.

Thanks,
Mahdi

Gurpreet

Hello Mahdi,

You can use the LSEG Data library to get data from workspace if you know the RIC for all the underlying instruments. E.g:

 ld.get_history(universe=["AAL.L", "AD.AS", …..], interval="1D", fields=["TRDPRC_1"],
               start = '2020-01-01', end = '2025-01-01')

This will provide the data in the tabular format that you requested.

I could not find a way to get all the underlying RICs for this CDS index. You can get all the constituent organizations names like this -

ld.get_data("ITEEU5Y=", fields=['TR.CDSConstOrgName'])

You should try to raise this content question with helpdesk at LSEG MyAccount.

Elliot_Bryce

https://community.developers.refinitiv.com/discussion/comment/124042#Comment_124042

Thanks Gurpreet! Top 100 Legend.