Could you please confirm why the following outputs aren't the same?

Could you please confirm why the following outputs aren't the same?

Using Eikon Data API in Python:

RIC = 'AUMG0620P='
ek.get_data(RIC,"TR.DV01AmountAnalytics(ValuationDate=2022-08-30)")

I get 5.38

Using IPA for bonds

rdp.get_bond_analytics(
universe = [
"AUMG0620P="
],
calculation_params = bond.CalculationParams(
market_data_date="2022-08-30",
),
fields = [
"DV01AmountInDealCcy"]
)

I get 3.68

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Accepted answers

jonathan.legrand

Hi @JoanneCamille.Andes

These are two different fields:

TR.DV01AmountAnalytics

I found this info in the DIB.

DV01AmountInDealCcy:

In the API Playground, you will find the field in question:

You can find info about this API endpoint (which locates Refinitiv’s database called ‘IPA’ – ‘Instrument Pricing Analytics’) in the ‘Reference’ tab, which sends you to this guide, which defines (in ‘Data’ and ‘IPA Financial Contracts - Analytics Guide’ on the left after signing in) this ‘DV01AmountInDealCcy’ field as ‘The sensitivity of the market value to a 1% parallel shift in the yield curve computed in the currency of the deal.’.

If the above is not enough, I would think that the difference in the returned number may very vell be due to calculation methodology discrepancies. This would be a content question, and for such questions (about calculation methodologies), please raise a ticket at https://my.refinitiv.com/.

All comments

Jirapongse

@JoanneCamille.Andes

Those fields are from different endpoints. The TR.DV01AmountAnalytics field is from the Data Grid service while the DV01AmountInDealCcy field is from the Instrument Pricing Analytics service.

I found the definitions of those fields.

You can use the Data Item Browser to check the definitions of the fields retrieved by the get_data method.

DV01AmountInDealCcy represents the sensitivity of the market value to a 1bp parallel shift in the yield curve. It is computed as [DV01Bp x NotionalAmount / 100]. The value is expressed in the deal currency.

Therefore, you need to contact the Eikon support team to verify how the TR.DV01AmountAnalytics field is calculated. Then, contact the Instrument Pricing Analytics - Refinitiv Data Platform support team to verify how the DV01AmountInDealCcy is calculated.

Finally, ask them if the TR.DV01AmountAnalytics and DV01AmountInDealCcy fields represent the same value.

jonathan.legrand

Hi @JoanneCamille.Andes

These are two different fields:

TR.DV01AmountAnalytics

I found this info in the DIB.

DV01AmountInDealCcy:

In the API Playground, you will find the field in question:

JoanneCamille.Andes

DV01 is a fixed income metric. I get that the two fields are named differently and that I am using Eikon Data API and IPA and comparing the output of two different fields. However, given that the underlying terms and conditions are the same and I am using the same date, the value of DV01 should be the same and it doesn’t matter the field from where I am retrieving.

What I am trying to say is that 2+2 = 4 if I am using Eikon Data API or IPA. One of those fields is incorrect, there should be only one answer and the same output. Could you please confirm which one is correct and advise on how to get the correct information using IPA?

JoanneCamille.Andes

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