Historical data for CDS spread for a list of companies
Hi,
I would like to retrieve five-year-maturity CDS spread for a list of companies on a specific date historically. Is it possible to do this with Python using API to Workspace application? Could anyone help me with this? Thanks a lot in advance!
Best Answer
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Yes, the LSEG Data Library for Python can access IPA (Instrument Pricing Analytics API). Please check the IPA examples on GitHub.
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Answers
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Hi @Emilymevo
Yes, for this, you may need to compute the spread. For this, you can us the Instrument Pricing Analytics API:
https://developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-financial-contracts-cds-contractsI used it in this article, as an example. As can be seen in the `content.ipa.financial_contracts.option.Definition` function, you may need to find the inputs yourself using get_data first, then input your findings in the IPA calculator; although it is unlikely (this tends to only be nessesary with expired instruments).
If you have any issues ising IPA, don't hesitate to read this article. Failing that, don't hesitate to revert on this Q&A Forum.0 -
Thank you a lot for the reply! Unfortunately I do not think I have access to the API you have mentioned. Is it possible to do extraction through the LSEG Data Library for Python?
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Hi @Emilymevo
Is the reply above satisfactory in answering your question?
If yes please click 'Yes' next to the text ‘Did this answer the question?’, and then close the question. This will guide all community members who have a similar question.
Otherwise please post again offering further insight into your question.
Thanks,
AHS
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Thank you a lot for the reply! I did not see any content related to CDS in the article you mentioned. Could you please show a bit more details how I could extract the data and do the calculation? Thanks a lot.
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Please check the answer on this discussion.
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