Itraxx constituent historical prices

Elliot_Bryce · 2025-02-11T21:47:06+00:00

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Dear All,

I would like to create a time series data frame, so dates on the left and then columns of daily prices of each security that consitutes the iTraxx Europe Series 42 Version 1 (Index Red 9: 2I666VDK8). I'd like the dates to be from 1st Jan 2020 to 1st Jan 2025. I cannot figure out how to get the prices directly from the refinitiv workspace so I'd be extremely grateful as this is for my final year dissertation.

Thanks,
Mahdi

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Gurpreet

Hello Mahdi,

You can use the LSEG Data library to get data from workspace if you know the RIC for all the underlying instruments. E.g:

 ld.get_history(universe=["AAL.L", "AD.AS", …..], interval="1D", fields=["TRDPRC_1"],
               start = '2020-01-01', end = '2025-01-01')

This will provide the data in the tabular format that you requested.

I could not find a way to get all the underlying RICs for this CDS index. You can get all the constituent organizations names like this -

ld.get_data("ITEEU5Y=", fields=['TR.CDSConstOrgName'])

You should try to raise this content question with helpdesk at LSEG MyAccount.

Elliot_Bryce

https://community.developers.refinitiv.com/discussion/comment/124042#Comment_124042

Thanks Gurpreet! Top 100 Legend.

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