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tr105 avatar image
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Retrieve the constituents of a yield curve at a specific value date using Eikon Data API (Python)

This is a follow up to my earlier question https://community.developers.refinitiv.com/questions/48802/retrieve-the-constituents-of-a-yield-curve-using-e.html

As the constituents making up a specific yield curve like `0#AEURNFI` change over time, would it be possible to retrieve the list of yield curve constituents at a specific historic date?

See my previous question for more context.

I have tried using EDate and SDate just like in https://community.developers.refinitiv.com/answers/48885/view.html but without success (API returns the same results and seemingly ignores the SDate an EDate parameters).

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3 Answers

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tr105 avatar image
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I received response from the support team. They say that the historical constituents are not even stored, which is disappointing.

Quote from their response below:

I have researched on this and can confirm that we don't store historical constituents for these curves. Unlike with benchmarks like <AU10YT=RR> we can retrieve the historical constituents as these are benchmarks and roll over happens once.

But in case of Credit/Yield Curves, it is everyday monitoring of underlying wherein many bonds get added and removed. There are criteria set for underlying and if any bond is out of line, it gets removed automatically; if any bond meets criteria, it gets uploaded.

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Christiaan Meihsl avatar image Christiaan Meihsl

@tr105, thank you for sharing the response

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Jirapongse avatar image
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@tr105

You may need to contact the Eikon support team via my.refinitiv.com for an Eikon Excel TR formula that can be used to retrieve this data. Then, if the formula is available, it can be applied to the get_data function.

As I know, this information can be retrieved via TRTH Historical Chain Constituents Search.


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tr105 avatar image
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Thanks for your answer. I'll post the response of the Eikon support team here once it arrives.

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