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Hi everyone
I am using the python function ek.get_data to source data from eikon and I am interesting in the field TR.DV01Analytics or TR.DurationAnalytics. If I use the following formula, I only get the latest value and no time series.
ek.get_data('US500769CG75','TR.DurationAnalytics',parameters={'SDate':'2018-10-02', 'EDate':'2018-10-07'})
Does anyone know how to incorporate different valuation and settlement dates, such that I get a time series of DV01 / Duration?
Thanks
Jurij
Hello @jurij.reichenecker
You can use Data item browser in Eikon or Refinitive workspace to check TR.DurationAnalytics field's parameters e.g. 'ValuationDate' and 'SettlementDate' as shown below:
The example source code:
import pandas as pd
import eikon as ek
#set app key to identify the application on Eikon, Eikon Proxy or Refinitiv Platform
ek.set_app_key(<the app key>)
df = ek.get_data('US500769CG75','TR.DurationAnalytics', parameters={'ValuationDate':'2018-10-02','SettlementDate':'2018-10-07'})
df
The example output:
