Retrieving bond returns (historical values)

ricardo.henriquez
ricardo.henriquez Explorer
in Eikon Data APIs

Hello

Following up on @Student-10 question, I would like to know how to download bond returns ?

There are several variables of interest in the Item Browser (Bond_fields). However, the values only work for the last available date, not the historical ones.

How do we specify ek.get_data() in order to have the historical values?

Bond_fields = ["TR.FiEOMPriceReturn","TR.FiEOMTotalReturn", "TR.FiClosingPrice", "TR.FiPrevPriceReturn", "TR.FiEOMPriceReturn.date"] 
Bond_RICs = ["CN1920029=","CN1720052=","CN1720012=","CN1920001=", "CN1702002=","CN101751004=","CN101901057="]
df, err = ek.get_data(Bond_RICs, Bond_fields,{'SDate':'2015-01-01','EDate':'2020-12-06'}) 
df

Additionally, calculating the bid/mid/ask prices returns (%change) from previous gives me extremely low results (0.000001). Is there another way to calculate bond returns using closing prices? Maybe I am just missing something.

https://community.developers.refinitiv.com/questions/70286/refinitiv-eikon-retriving-bond-historical-prices.html


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Best Answer

  • chavalit-jintamalit
    chavalit-jintamalit admin
    Answer ✓

    Hi @ricardo.henriquez

    You can use the "Code Creator" app to check supporting parameters for each field.

    To launch "Code Creator" app, type in CODECR in the Eikon Search bar.

    The field you used does not support SDate and EDate parameters.

    image


    You may contact the Refinitiv Content Helpdesk to clarify what fields might be available and the content question about calculating the bid/mid/ask prices returns (%change).

    The Refinitiv Content Helpdesk can be reached using Contact Us capability in your Eikon application.
    Or by calling the Helpdesk number in your country.
    Or at https://my.refinitiv.com/

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