Retrieve the constituents of a yield curve using Eikon Data API (Python)

Hi,

I want to retrieve a list of RICs of the bonds that make up the 0#BUSDNFIBMK= yield curve.

In Excel, we do this using (roughly):

TR("0#BUSDNFIBMK=";"";"CH=Fd RH=IN";B8)

We have tried retrieving all constituent-related fields for this instrument using get_data, but this didn't work as the fields did not exist on this instrument. We expected this, as these entries are empty in the Data Item catalog...

Can you suggest an alternative approach? How does the Excel API retrieve the list of constituents?

Thanks in advance!

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Accepted answers

James.Perkins

try this:

df, e = ek.get_data(['0#AEURNFI'],['OFFCL_CODE','DSPLY_NAME','COUPN_RATE','MATUR_DATE','CF_BID','CF_ASK','RT_YIELD_1'])

All comments

chavalit-jintamalit

Hi @tr105

Please try this code:

df,e = ek.get_data('0#BUSDNFIBMK=','DSPLY_NAME')
df

tr105

Hi Chavalit, thanks for your incredibly quick reply!

This makes sense, but i'm not there yet. Maybe I've phrased my question wrong. We we want the actual bonds that this curve is based on. How would I get those?

I'm pretty new to this API and Eikon in general, so be sure to correct me if I've misunderstood something.

E.g. if we have the 0#AEURNFI curve, we want to retrieve a list of bonds like

JP096729901=AMER HONDA FIN

US082395458=CARGILL

DE137669226=DAIMLER

FR0011321926=RTE EDF TRANS SA

James.Perkins

try this:

df, e = ek.get_data(['0#AEURNFI'],['OFFCL_CODE','DSPLY_NAME','COUPN_RATE','MATUR_DATE','CF_BID','CF_ASK','RT_YIELD_1'])

tr105

Awesome, this seems to do what we want.

Thank you so much!

tr105

@James.Perkins Would it be possible to get this list of constituents at a specific date? I've tried using EDate and SDate just like in https://community.developers.refinitiv.com/answers/48885/view.html but without success (API returns the same results and seemingly ignores the SDate an EDate parameters).

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