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staff2 avatar image
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CDS Spreads

Hello


I have a list of companies, e.g. Apple and Microsoft. I need their yearly CDS spreads (at end of year). How do I get this? I am doing something but I am not sure. 


data, error = ek.get_data(['VOD.L','AAPL.OQ','MSFT.OQ'],'TR.CDSPrimaryCDSRic')
result = data["Primary CDS RIC"]
df,e = ek.get_data(result,
                   ['TR.CDSType', 'TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': '2018-01-01', 'EDate': '2018-01-30', 'DateType': 'AD', 'CURN': 'EUR'})
df

My first problem: result does not work as a list.

Second problem: What should I change in the parameters so that I get the end of year CDS spread for each of my stocks from, say, 2008 until now?

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1 Answer

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zoya faberov avatar image
23k ●22 ●9 ●14

Hello @staff2,

Try:

data, error = ek.get_data(['VOD.L','AAPL.OQ','MSFT.OQ'],'TR.CDSPrimaryCDSRic')
pcrs = data["Primary CDS RIC"]
df,e = ek.get_data(pcrs.tolist(),
                   ['TR.CDSType', 'TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': '2018-01-01', 'EDate': '2018-01-30', 'DateType': 'AD', 'CURN': 'EUR'})
df

If you like to loop some end of years, in my understanding, a simple, perhaps not the most elegant way would be:

import pandas as pd
dfRes = pd.DataFrame()
for year in range(2008, 2020):
    dfIter,e = ek.get_data(pcrs.tolist(),
                   ['TR.CDSType', 'TR.PARMIDSPREAD.date', 'TR.PARMIDSPREAD'],
                   {'SDate': str(year)+'-12-30', 'EDate': str(year)+'-12-31', 'DateType': 'AD', 'CURN': 'EUR'})
    dfRes = dfRes.append(dfIter)
dfRes

Resulting in


This approach can be adjusted to your requirements in terms of the date range ( I am pulling both 12-30 and 12-31 just in case)



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