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ed.jeffery avatar image
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Understanding why certain bonds return no data from RDP "get_bond_analytics" python function

I am using the RDP python package's `get_bond_analytics` function to get bond cashflow data like so:

```

import refinitiv.dataplatform as rdp

from refinitiv.dataplatform.content.ipa import bond


df = rdp.get_bond_analytics(

universe=[<List of RICS codes>],

fields=[

'Isin',

'RIC',

'Cusip',

'Sedol',

'Ticker',

'CashFlowDatesArray',

'CashFlowInterestPercentsArray',

'CashFlowCapitalAmountsInDealCcyArray',

'CashFlowAnnualRatesPercentArray',

'CashFlowTotalPercentsArray',

],

calculation_params=bond.CalculationParams(market_data_date="2000-01-01"),

)

```


However, I cannot get data for about 700 bonds in our universe. Please can you help me understand why there is no data?



Example RIC codes with missing data:


'AU9YT=RR'

'225401BB3=2M'

'61772BAC7=1M'

'GR15YT=RR'

'AT7YT=RR'

'225401AY4=2M'

'55608JBF4=2M'

'06406RBR7=2M'

'XS007437161=2M'

'FR001400I3N=2M'

python#contentrefinitiv-data-platformipa
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ed.jeffery avatar image
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Hi @jonathan.legrand, thanks for your response. Is there a way of using the new RD library for getting data for multiple bonds at the same time? I have a large universe of ~20,000 bonds I want to get data for. It looks like it doesn't have a "get_bond_analytics" function anymore. I can see the `rd.get_data()` function, but unsure how to define the parameters. For example, something like the below:


rd.get_data(
    universe=['AU9YT=RR', '225401BB3=2M', ...],
    fields=['Isin', 'RIC', 'CashFlowDatesArray', ...],
    parameters={"MarketDataDate": "2000-01-01"},  # not sure about this part
)
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jonathan.legrand avatar image jonathan.legrand

Hi @ed.jeffery ,


Is this it? I believe the limit is 100 per call; above that you will need a loop as shown here (search for `batch_of: int = 100` in the article).


import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import bond
rd.open_session()
definitions = [
    bond.Definition(
        instrument_code=i)
    for i in ['AU9YT=RR', '225401BB3=2M', '61772BAC7=1M',
              'GR15YT=RR', 'AT7YT=RR',
              '225401AY4=2M', '55608JBF4=2M',
              '06406RBR7=2M', 'XS007437161=2M','FR001400I3N=2M']]
response = rd.content.ipa.financial_contracts.Definitions(
    universe=definitions,
    fields=[
        'Isin',
        'RIC',
        'Cusip',
        'Sedol',
        'Ticker',
        'CashFlowDatesArray',
        'CashFlowInterestPercentsArray',
        'CashFlowCapitalAmountsInDealCcyArray',
        'CashFlowAnnualRatesPercentArray',
        'CashFlowTotalPercentsArray']).get_data()
response.data.df

1708615117253.png

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ed.jeffery avatar image ed.jeffery jonathan.legrand

Thanks @jonathan.legrand, I've got that working locally. My last bit of confusion is over the parameters. I want to get cashflows since the issue date for all bonds and had to use `bond.CalculationParams(market_data_date="2000-01-01")` in my initial example as proxy for this. I see with the new RD package that I can use `bond.PricingParameters(compute_cash_flow_from_issue_date=True)` but this sometimes doesn't return data for a bond (whereas using market_data_date does). Do you know why this might be happening?


See RIC code '21688AAQ5=BCLQ' as an example of this.

m.bunkowski avatar image m.bunkowski ed.jeffery

Hi @ed.jeffery

You can use the parameter compute_cash_flow_from_issue_day = True

response = bond.Definition(
    instrument_code="AU9YT=RR",
    fields=[ 
        'CashFlowDatesArray',
        'CashFlowInterestPercentsArray',
        'CashFlowCapitalAmountsInDealCcyArray',
        'CashFlowAnnualRatesPercentArray',
        'CashFlowTotalPercentsArray'],
    pricing_parameters = bond.PricingParameters(
        compute_cash_flow_from_issue_date = True )
    ).get_data()
response.data.raw
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jonathan.legrand avatar image
6.5k ●21 ●3 ●6

Hi @ed.jeffery ,


I would advise upgrading to the new RD library for Python. Looking into it, I was able to collect data with it, e.g.:


import refinitiv.data as rd
from refinitiv.data.content.ipa.financial_contracts import bond
rd.open_session()
response = bond.Definition(
    instrument_code="AU9YT=RR",
    fields=[
        'Isin',
        'RIC',
        'Cusip',
        'Sedol',
        'Ticker',
        'CashFlowDatesArray',
        'CashFlowInterestPercentsArray',
        'CashFlowCapitalAmountsInDealCcyArray',
        'CashFlowAnnualRatesPercentArray',
        'CashFlowTotalPercentsArray']).get_data()
response.data.df


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