I'm trying to extract historical bid yield for currency curve.
For my tests I selected the currency curve 0#EUBMK= with the constituent EU1YT=RR. (maturity 1 year).
Then I used the GetViewList function from .NET lib to retreive the name of the view : BID_YIELD
But when I request the timeSerie all the elements I receive have value=null. I only have access to the keys "Open","Close","High", "Low".
Is it then possible to retreive the value ?
When I try to extract historical par yield for industry curves I have no problem.
Thank you !
I would certainly not recommend using AdxRtHistory object. It's a component that retrieves timeseries from a very old legacy infrastructure that is being actively sunset. Eikon .NET API is the right API to use for your purposes.
Would you mind giving an example of the mismatch in the values you see?
The close value returned for 10-May-2019 using the request in the following code snippet is -0.572, which is exactly the value you see in your screenshot for 1Y maturity.
request = timeSeries.SetupDataRequest("EU1YT=RR") .WithView("BID_YIELD") .WithInterval(CommonInterval.Daily) .From(new DateTime(2019, 5, 5)) .To(new DateTime(2019, 5, 15)) .OnDataReceived(DataReceivedCallback) .CreateAndSend();
When you retrieve data via GetViewList, it is important to pay attention to the interval as they do provide different views of data. For example, you can see from my output below that a BID_YIELD view with an interval of "Yearly" contains a different set of fields than a "Quotes" interval. In fact, for the selected constituent (EU1YT=RR), there are only 2 intervals within the view that will carry additional values:
So, your timeSeries call could look like this:
Maybe it is easier to explain you what I'm trying to extract. I took a screenshot of the information I need to retrieve with the API.
It is the historical bid yield for a currency curve (0#EUBMK=).
According to your previous answer it seems that I can retreive this value only with Quotes interval (The value is in the bid_yield field). The problem is I would need to retreive this information summarized on daily records. (like for the curve in the screenshot)
But the Daily intervall only provide the same fields than Quaterly. (No bid yield then)
How could I then extract the information from the screenshot ?
The same operation is easy with industry curve because each interval provide the field "value" that contains the value of the requested view.
Thank you !currencycurve.jpg
I asked the question to the Refinitiv Helpdesk. I received an answer that describes how to do it with Excel and formula builder.
The Excel formula looks like this :
=TR("EU1YT=RR", "TR.BIDYIELD", "Frq=D SDate=2019-02-01 EDate=2009-08-09 CH=Fd RH=IN")
It returns exactly the information I need ! (1 bid yield by day with a depth history bigger than 90 days)
The Helpdesk was not able though to give me the solution for a .NET implementation. They say not having access to such documentation.
They sent me back on the developers community.
Yould you have then any idea to translate such request in .NET ?
Thank you !