Rhistory to Python conversion

mika.kastenholz1
mika.kastenholz1 Newcomer
in Eikon Data APIs

I am a bit confused as to which queries are currently supported by the python timeseries API. For example, can the following be translated to python "get_timeseries" or "get_data" :

=RHistory("KR10YT=RR","SWAP_SPRD.Timestamp;SWAP_SPRD.Value","START:01-Jan-2020 END:12-Sep-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd")

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @mika.kastenholz1

    The get_timeseries method can be used to retrieve the same data as the RHistory function. However, the get_timeseries method can retrieve only the default view of RHistory. For KR10YT=RR, the default view is the Common view.

    image


    Therefore, you can't use the get_timeseries method to get SWAP_SPRD.Value in the Swap spread view.

    The get_data method can be used to retrieve the same data as the =TR function. I found that TR.SWAPSPREAD returns NULL for KR10YT=RR.

    You need to contact the Eikon support team via MyRefinitv and ask for the TR formula which can be used to retrieve the historical swap spread values. If it is available, you can apply it to the get_data method.


Answers

  • mika.kastenholz1
    mika.kastenholz1 Newcomer

    Thanks for your reply. However, I can confirm that the query above works

    =RHistory("KR10YT=RR","SWAP_SPRD.Timestamp;SWAP_SPRD.Value","START:01-Jan-2020 END:12-Sep-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd")

    in excel. How would the respective get_data query then look like?

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