Hello,
I'm trying to extract curves data from Eikon by using Rsearch and DEX2. The data I want to extract are in the attached picture.
Can you tell me how to retrieve it (Maturity and Yield) ?
Thank you !
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RSearch: extract curves data
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The yield curve you're looking at is contained in the chain "0#BBEURENEBMK=". You can see this code in the screenshot you included. To view the data structure in this chain type in "0#BBEURENEBMK=" in a Quote app in Eikon and over the mouse pointer over any data elements you're interested in. The tooltip will tell you the RIC and the field name for this data element.
You can retrieve chain constituents using AdxRtChain object of AdfinX Real-Time library. Then for each constituent you can retrieve maturity code in field "GV_TEXT4", par yield in field "RT_YIELD_1" and zero yield in field "SEC_YLD_1" using AdxRtList object. See this tutorial for using AdxRtList in a custom .NET application and this tutorial for using AdxRtChain object to retrieve chains. The latter tutorial talks about using the object in Excel VBA, but the object can also be used in .NET the same way you'd use AdxRtList. The two COM objects are provided by the same COM library.
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Hi @Alex, Thanks for the answer ! It works great !
I have an other question linked to this one then I think it is better to ask it here.
Is it possible to extract historical data for a specific curve ? In the screenshot I provided the Date is set to "latest". But I would like to extract curves with date set to "historical".
Thank you !
It's possible to retrieve zero and par yield history for each constituent (maturity point) of the curve using Eikon .NET APIs. Take a look at this tutorial. You can also use Eikon .NET APIs to retrieve chain constituents and real-time data for this curve. This way you won't need to use AdfinX Real-Time COM library that I suggested in my previous answer. Although it's also possible to use both Eikon COM and Eikon .NET APIs in the same application, so you could use AdfinX Real-Time COM library to retrieve chain constituents and real-time data and Eikon .NET API to retrieve the historical curve.
