Bond yields and duration

jhonny
jhonny Explorer
in Eikon Data APIs

I need to obtain time series of bond yields (i.e. p. 83 of Hull's textbook) and bond duration (i.e. p. 91) for a range of fixed-rate bonds. However, TR.CLOSEYIELD and TR.DURATIONANALYTICS are rarely available for bonds, including large ones like DEDB2GPB=SG.

Theoretically, I should be able to compute it myself, but that requires to query bond prices through TR.CLOSEPRICE, Issue and Maturity dates as well as coupon details through TR.COUPONRATE, TR.COUPONFREQ, TR.FiFirstCouponDate and TR.FiLastCouponDate.

Before I do that, I would like to ask for confirmation that, indeed, I cannot get the information straight from Eikon. Thank you for your help.

This question is similar to the ones below, which however did not help me.

[*] https://community.developers.refinitiv.com/questions/48626/python-api-bond-yield-data.html

[**] https://community.developers.refinitiv.com/questions/46222/eikon-api-what-field-to-choose-for-historical-dura.html

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Best Answer

  • chavalit-jintamalit
    chavalit-jintamalit admin
    Answer ✓

    Hi @jhonny

    So the question is like, is there any field carrying timeseries data for bond.

    I am not sure if the "TR.MIDYIELD" is the field you are interested in?


    image


    If this is not the field you are interested in, for an authoritative answer to any content questions, the best resource is the Refinitiv Content Helpdesk.

    This forum is dedicated to things specific to the use of Eikon APIs(coding).

    The moderators here do not have deep expertise in every type of content available through Eikon.

    The Refinitiv Content Helpdesk can be reached using Contact Us capability in your Eikon application or by calling the Helpdesk number in your country.

    Or at https://my.refinitiv.com/

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