How do I get Clean Price for US treasuries

Question

Question by Rana.Mallah · Dec 15, 2021 at 10:28 AM · eikon-data-api data historical bonds timeseries

How do I get Clean Price for US treasuries

I am trying the following, but it is not finding the field and fills the dataframe with <NA>s

df = ek.get_timeseries(

'US5YT=RR',

fields = ['TR.CLEANPRICE']

)

display(df)

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Answer 1 · 2021-12-15T10:48:12Z

REFINITIV

Best Answer

Answer by raksina.samasiri · Dec 15, 2021 at 10:48 AM

Hi @Rana.Mallah ,

I'd like to add that to get the historical data of clean price, the parameters of start date (SDate) and end date (EDate) can be added into the get_data function, please find an example code below

0D mean Last Trading Day and -10D mean 10 day before that

or you can use the absolute date on SDate and EDate as well, For example,

                  
                   parameters={
                    'SDate':'2021-09-01', 'EDate':'2021-09-20'}

df, err = ek.get_data('US5YT=RR', fields = ['TR.CLEANPRICE.date', 'TR.CLEANPRICE']
                      , parameters = {'SDate':'-10D', 'EDate':'0D'})
df

1639564932787.png (24.0 KiB)

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How do I get Clean Price for US treasuries

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