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paul67 avatar image
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Swaption bp vol time series data retreival in python

In excel using the formula

=RHistory("GBP20YX20Y=ICAP",".Close;.Timestamp","START:01-Jan-2019 END:18-Aug-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd",H10)

does not retreive data back to presant day.

Equivalenty using python it returns the same data using the following:

df = ek.get_timeseries(['GBP20YX20Y=ICAP'],

start_date="2019-01-01",

end_date="2020-08-18")


I can solve the excel issue by adding additional parameters (answer supplied by Reuters helpdesk):

=RHistory("GBP20YX20Y=ICAP","BP_VOLT.Timestamp;BP_VOLT.Value","START:01-Jan-2019 END:18-Aug-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd",B2)


The question is how I change the python function to bring me back the equivaent of this?

These RICS are the 20Y20Y atm vol on ICAP broker screen

Any guidance would be most appreciated.



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chavalit-jintamalit avatar image   chavalit-jintamalit

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question. Thanks, AHS

Jirapongse avatar image   Jirapongse

@paul67

Hi,

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

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chavalit-jintamalit avatar image
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Hi @paul67

It is not possible to use Eikon Data API to retrieve different data view on timeseries.

Eikon Data API - get_timeseries() can only retrieve data from the instrument default view.


You may consider using RDP Library in CodeBook for now.

To launch CodeBook, please type in "CodeBook" on Eikon Search Bar and press enter or https://developers.refinitiv.com/article/use-eikon-data-api-or-rdp-library-python-codebook-web-browser

(RDP Library will be released soon to PyPi so you can use pip install to install it) https://pypi.org/project/refinitiv-dataplatform/

Here is the sample code using RDP Library and the data field is BPV_OCM_CA


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chavalit-jintamalit avatar image chavalit-jintamalit

FYI - RDP Library is released today (19th Aug 2020)

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