Is there any way that Client can get the fixing for a bond with floating rate note for a historic...

VyaJunaine.Gutierrez
VyaJunaine.Gutierrez LSEG
in Eikon Data APIs

... date?

Hi Team,


Good day.


Is there any way that Client can get the fixing for a bond with floating rate note for a historic date?

He would like to get the data as per 2023-03-31, i.e what the coupon rate was as per 2023-03-31.


See below Client's current python code


rics,e3 = ek.get_data(list(issued_bonds['ISIN-kod']),"TR.RIC")

eikon_data,e3 = ek.get_data(list(rics['RIC']),["TR.FiIndustrySectorDescription","TR.FiIndustrySubSectorDescription","TR.FiIssuerName","TR.FiMaturityDate","TR.FiIssueDate",\

"TR.CouponRate","TR.FiCouponFrequency","TR.ADF_MARGIN","TR.ACCRUEDINTEREST","TR.FiOriginalAmountIssued","TR.FiFaceIssuedTotal","TR.IssuerRating","TR.FiIssuerSPLongRating"])


I will send 2 attachments from Client via dev advocate emails as I am unable to attach these files here.

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Best Answer

  • m.bunkowski
    m.bunkowski LSEG
    Answer ✓

    Hi @VyaJunaine.Gutierrez

    What if you try this approach.
    Here you can get the full array of annual rates and the dates. You can either choose the trade date or calculate it from the issue date. Does it meet your requirements?

    import refinitiv.data as rd
    from refinitiv.data.content.ipa.financial_contracts import bond
    rd.open_session()
    response = bond.Definition(
        instrument_code="XS0010276466",
        fields=[
            'CashFlowDatesArray', 
            'CashFlowAnnualRatesPercentArray'],
        pricing_parameters = bond.PricingParameters(
            trade_date="2020-06-01"
            #compute_cash_flow_from_issue_date = True 
    )).get_data()

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