Get 3 months treasury bill rate timeseries

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lorenzo.cerreta
lorenzo.cerreta Newcomer
in Eikon Data APIs

I need to get the timseries of the close price for the 3 months treasury bill for these countries

['Australia', 'Austria', 'Belgium', 'Bermuda', 'Brazil', 'Canada', 'Cayman Islands', 'Chile', 'China (Mainland)', 'Colombia', 'Denmark', 'Finland', 'France', 'Germany', 'Hong Kong', 'India', 'Italy', 'Japan', 'Lithuania', 'Luxembourg', 'Mexico', 'Morocco', 'Netherlands',       'New Zealand', 'Nigeria', 'Norway', 'Peru', 'Philippines', 'Portugal',       'Singapore', 'South Africa', 'South Korea', 'Spain', 'Sweden', 'Switzerland', 'Taiwan', 'Thailand', 'Turkey', 'United Arab Emirates', 'United Kingdom', 'United States']

I tried to use the following snippet for the USA:

stock_prices, err = ek.get_data(
    'US3MT=RR',
    ['CF_CLOSE.Date', 'CF_CLOSE'],
    {'SDate': starting_date,
     'EDate': ending_date})

but I get only the last value and no timeseries. On DIB, I am unable to find any closing value with historical data. Could you point me to the right variable?

And can I get all countries 3 months treasury bill by replacing the first 2 letters of 'US3MT=RR' with each country abbreviation?

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Best Answer

  • chavalit-jintamalit
    chavalit-jintamalit admin
    Answer ✓

    Hi @lorenzo.cerreta

    The first part of your question is how to get RIC list for each country from your list.

    This forum is not the best place to ask about content questions.
    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.
    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/


    And can I get all countries 3 months treasury bill by replacing the first 2 letters of 'US3MT=RR' with each country abbreviation?

    I tried some countries work, some countries do not work.

    So it is best to clarify with helpdesk.

    The second part of your question is how to get timeseries data.

    Assuming that when you have a full list of the RICs.

    You can follow this sample code to get its timeseries data:

    image

Answers

  • [Deleted User]
    [Deleted User] Newcomer

    Hi @lorenzo.cerretaLorenzo, You may filter the fields displayed in the Data Item Browzer (DIB) to only show what you're looking for; bellow I tried it for the same instrument for France:


    image


    Doing so myself, I was able to find some fields that you may be looking for. For e.g.: assuming that Prices don't change from Close to Open, you may want to use TR.OPENPRICE, or maybe TR.MIDPRICE, or you may want to compute the yield implied price from the TR.MIDYIELD in a similar fashion to in this article (note that the workflow in that article uses Zero-Coupon Bonds).


    Alternatively, you may want to look into Datastream, where bond data is also available.

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