Zero Yield Curve data

eva_maria.vela.palomino
eva_maria.vela.palomino Newcomer
in Eikon Data APIs

Hi,

I would like to download with the API, the historical information (either for a specific period or day) of the discount curve whose field in excel is 'DISC_FACTR.Value' and for the due date whose field in excel is 'MATUR_DATE'.

The RIC I am consulting is 0#EURAMMEZ=R

Thanks

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Best Answer

  • jason.ramchandani01
    jason.ramchandani01 admin
    Answer ✓

    Hi @eva_maria.vela.palomino thanks for the follow up question - so you can only get the current value for the fields you are looking for. From the quote screen below you can see that the Discount Factor is stored in the field 'SEC_ACT_1' and the Maturity is stored in the field 'MATUR_DATE'.

    image

    Using the get_data call you can get the most recent value as a snapshot.

    data_frame = get_data("0#EURAMMEZ=R",list( "CF_Name","CF_Last","SEC_ACT_1","MATUR_DATE"))

    Unfortunately due to the limited data model of the current get_timeseries API you cannot retrieve a timeseries history of these fields. We do have a legacy .NET API from which you could retrieve these fields you can find details here - but as you are using R i believe it would be quite tricky.

    We have a new Timeseries API with a much expanded data model which is available shortly to Eikon customers and that will allow access to this data - however it is not available in R only in Python and .NET. You can find out more details about that here and here - the relevant endpoint/service is called Historical Pricing.

    I hope this can help.

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