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paolo.piantadosi avatar image
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how can I get historical cds spread for a list of tickers? I am interested in 5 years maturity and monthly (or quarterly) prices

eikonrefinitiv-dataplatform-eikonrefinitiv-data-platformexcelrdp
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haykaz.aramyan avatar image
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Hi @paolo.piantadosi ,

you can first get the list of CDS for a given RIC, eg for Microsoft.

data, err = ek.get_data(['MSFT.OQ'],'TR.CDSPrimaryCDSRic')
data

And then (or If you have them already) you can use CDS RIC(s) and request spread prices. Example below shows PARMIDSPREAD for MSFT5YUSAX=R:

data, err = ek.get_data(['MSFT5YUSAX=R'],['TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': '2016-01-01', 'EDate': '2021-12-31'})
data

1641492848342.png

For more fields you can look at Data Item Browser(DIB) section of Workspace. See below a screenshot for available spreads:

1641492753490.png


Hope this helps!


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1641492753490.png (141.5 KiB)
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paolo.piantadosi avatar image
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@haykaz.aramyan thanks a lot for your help. I don’t know if I am in the wrong forum but I hoped that I can do those steps on the excel add-in because i am not a phyton user actually.

I really will appreciate if you know ho to do this in excel. Thanks.

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haykaz.aramyan avatar image haykaz.aramyan

@paolo.piantadosi, unfortunately, I can't assist re excel addin, this is a support forum for accessing Refinitiv data through APIs. For excel related questions I would advice opening a query via Helpdesk.