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jhonny avatar image
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Historical CDS Prices

I have a number of equity and debt instruments, identified by their ISIN. I query the issuing organization's Primary CDS through field `TR.CDSPrimaryCDSRic`. For each of these RIC, I want to extract the daily, historical CDS spreads, using the Eikon API through Python on a Mac

This is where I run into problems because I fail to identify the correct field for the spread. Fields like `PRIMACT_1`,` TR.PriceClose`, `TR.FIPricingClosingPrice` did not produce the desired result.

ek.get_data(instruments=['BCOM5YEUAM=FN','WBSW5YEUAM=R'], fields=['TR.CDSType', 'TR.FIPrice', 'PRIMACT_1'], field_name=True, parameters={'SDate': '2013-01-01', 'EDate': '2013-01-30', 'DateType': 'AD', 'CURN': 'EUR'})

The (obvious) questions:

  • Which field contains historical CDS price data?
  • What makes a CDS a `primary CDS`, i.e. what is the field's definition, and could I obtain all CDS?

I appreciate your help.

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1 Answer

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chavalit-jintamalit avatar image
18k ●21 ●12 ●20

Hi @j.h.inhoffen

Please try this code:

df,e = ek.get_data(['BCOM5YEUAM=FN','WBSW5YEUAM=R'],
                   ['TR.CDSType', 'TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': '2013-01-01', 'EDate': '2013-01-30', 'DateType': 'AD', 'CURN': 'EUR'})
df


I could not get data for WBSW5YEUAM=R in the date range you provided.

If i change the year to 2018 I can get data point back for this RIC.


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