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Hi everyone,
Does anyone know how Option Adjusted Spread is computed on Eikon python function? Below is the function I used to download the spread.
OAS, err = ek.get_data('US075887BX67',[{'TR.OptionAdjustedSpreadBid':{'params':{'SDate':"07/19/2019"}}}], debug = False)
From this code, I get 174 bps but on other sources like Bloomberg, it says 161 bps.
Also, what other parameters can we use for this OAS function?
Thank you.
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Thanks,
AHS
thanks for your question. There are a number of different OAS fields available using different methodologies and parameters which you can access on a current snapshot basis. For historical point-in-time OAS not all these fields are yet available via API...
If you Open the Eikon DIB APP and enter US075887BX67 it will show you what is available.
Not sure if you are just evaluating this one security OAS, or a full universe of OAS,,,if overall you're finding the OAS levels in line with what you'd expect then perhaps the level for this one security is an outlier,,, in which case you can request a price challenge via our Help Desk to review.
