Swaption bp vol time series data retreival in python

Question

question

paul67

1 ●0 ●2 ●1

In excel using the formula

=RHistory("GBP20YX20Y=ICAP",".Close;.Timestamp","START:01-Jan-2019 END:18-Aug-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd",H10)

does not retreive data back to presant day.

Equivalenty using python it returns the same data using the following:

df = ek.get_timeseries(['GBP20YX20Y=ICAP'],

start_date="2019-01-01",

end_date="2020-08-18")

I can solve the excel issue by adding additional parameters (answer supplied by Reuters helpdesk):

=RHistory("GBP20YX20Y=ICAP","BP_VOLT.Timestamp;BP_VOLT.Value","START:01-Jan-2019 END:18-Aug-2020 INTERVAL:1D",,"TSREPEAT:NO CH:IN;Fd",B2)

The question is how I change the python function to bring me back the equivaent of this?

These RICS are the 20Y20Y atm vol on ICAP broker screen

Any guidance would be most appreciated.

Aug 18, 2020 at 02:02 PM

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Answer 1 · 2020-08-18T14:27:07Z

chavalit-jintamalit

18k ●21 ●12 ●20

It is not possible to use Eikon Data API to retrieve different data view on timeseries.

Eikon Data API - get_timeseries() can only retrieve data from the instrument default view.

You may consider using RDP Library in CodeBook for now.

(RDP Library will be released soon to PyPi so you can use pip install to install it) https://pypi.org/project/refinitiv-dataplatform/

Here is the sample code using RDP Library and the data field is BPV_OCM_CA

ahs1.png (100.0 KiB)

ahs2.png (44.8 KiB)

Aug 18, 2020 at 02:27 PM

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chavalit-jintamalit Aug 19, 2020 at 05:02 AM

FYI - RDP Library is released today (19th Aug 2020)