Hi, in Excel Addin or API from Bloomberg, you can get the BID and ASK price from a forex like this:
bdp(securities = "EUR/USD N 102320@091620 Curncy", fields = c('PX_BID', 'PX_ASK'))
Is there something similar to get exchange on specific future date on historical date?
As in the use case discussed on this thread, you can utilize Refinitiv Data Platform Library for the purpose of calculating FX Fwd points or outrights for a given Fwd end date as of a historical date.
from refinitiv.dataplatform.content.ipa.contracts import cross from refinitiv.dataplatform.content.ipa import FinancialContracts as fc fwd_contract = cross.Definition(fx_cross_code='EURUSD', fx_cross_type='FxForward', legs = [cross.LegDefinition( end_date = '2020-10-23')]) calc_params = cross.CalculationParams(valuation_date = '2020-09-16', price_side = 'Ask') response = fc.get_cross_analytics(fwd_contract, fields = ['ValuationDate', 'StartDate', 'EndDate', 'FxSwapsCcy1Ccy2', 'FxOutrightCcy1Ccy2'], calculation_params = calc_params) display(response.data.df)
Actually, this solution just gives the historical price of 1M tenor. This Bloomberg formula gives the price of a currency in a reference date, so if the consulting date is greater than the reference date, it gives the swap point interpolation value for that date. It’s real useful if I want historical MtM for an active in my wallet based on a forward curve.
Considering the other question I did on another post, I think there is no solution from Refinitiv.