How to obtain USD treasury static data (off-the-run and on-the-run)?
Is there a way to obtain all static data for treasuries, for on the run and off the run?
By static data, I mean values such as COUPON, ISSUE_DATE, MATURITY_DATE, CUSIP, SECTOR.
Off-the-run treasuries can change from one day to the next, hence I want a way to query this from a Java side UPA process. I will then use the static data to subscribe to relevant bonds to get the bid and ask.
Perhaps there is a chain type construct to achieve this?
Is there a way to obtain all static data for treasuries, for on the run and off the run?
By static data, I mean values such as COUPON, ISSUE_DATE, MATURITY_DATE, CUSIP, SECTOR.
Off-the-run treasuries can change from one day to the next, hence I want a way to query this from a Java side UPA process. I will then use the static data to subscribe to relevant bonds to get the bid and ask.
Perhaps there is a chain type construct to achieve this?
You can obtain those data from their respective fields.
- FID 69 - COUPN_RATE
- FID 102 - COUPN_DATE
- FID 107 - ISSUE_DATE
- FID 68 - MATUR_DATE
- FID 78 - OFFCL_CODE (CUSIP)
However, the fields are on the bond RIC itself, so you would have to subscribe to all of them to get all data.
The SpeedGuide page US/GOVT1 contains the list of chains that hold the on-the-run and off-the-run US treasuries. You can use the SpeedGuide tool to access the page.