For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
reid avatar image
6 ●0 ●2 ●2

Excess returns in Eikon python API

Hi -

I'm looking to compute some notion of excess returns (either the return experienced relative to holding cash or alternatively, the return of an unfunded equity position so total return - a borrowing cost - either one would do for now although at some point it would be good to differentiate). As a cut through I wanted to pull in a short-term cash rate (for instance Fed funds overnight rate or some such similar - was looking at USRRP=ECI field ECONOMIC.Value), but it looks like the codes I am finding in the Eikon data browser aren't pulling through in the API. Is there anything in-scope of the current API that would accomplish this goal, or some other creative way to compute an excess return?

Thanks.

eikoneikon-data-apiworkspaceworkspace-data-apirefinitiv-dataplatform-eikonpython
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

2 Answers

Upvotes
Accepted
ronny.holzaufderheide avatar image
58 ●0 ●2 ●4

Hi @574c708d-6b25-445f-8303-2b495473ec99, 

df = ek.get_timeseries('USRRP=ECI')

should deliver the required output. This is what I get for df.tail(5)

USRRP=ECI VALUE

Date

2018-12-03 2.0

2018-12-04 2.0

2018-12-06 2.0

2018-12-07 2.0

2018-12-10 2.0

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

reid avatar image reid

Thanks (and also to @Wan Po.Lee for the answer w get_data - looks like I had pulled the wrong field name from my XL browser). Seems like computing myself is the best way forward so will go that route. Cheers.

Upvote
Wan Po.Lee avatar image
339 ●3 ●4 ●6

Hello, this may not be a complete answer to your question, but for the short-term US Fed O/N REPO rate (as a benchmark or borrowing cost) you wanted to obtain should be available in Eikon API. As of now the Actual (N/A) rate is 2.00%, and I can see this value “2” from the Python API call:

import eikon as ek
ek.set_app_key('xxxxxxxxxx')
res = ek.get_data(['USRRP=ECI'], ['ECON_ACT'])
print(res)

I got:

( Instrument ECON_ACT
0 USRRP=ECI 2, None)

I believe once you got your benchmark return, you can derive the excessive returns easily.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Click below to post an Idea Post Idea