I've been doing some quant bond work and have found numerous inconsistencies with OAS data provided by Eikon. This is true both within the platform and in comparison to Bloomberg data as well. Would it be possible to get an explanation regarding the methodology used as well as some direction regarding which of the numerous methods are most inline with industry standard :
Please note: Bloomberg had 21.09 for the OAS Bid
Additionally, the quote has something entirely different...
some clarity and direction would be greatly appreciated
My code for both: fields = ['TR.OASAnalytics', 'TR.FiOptionAdjustedSpread'] oas = ek.get_data('002824BE9', fields=fields) fields_2 = ['TR.OPTIONADJUSTEDSPREADBID', 'OAS_BID'] oas_bid = ek.get_data('002824BE9=1M', fields=fields_2) oas_bid