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Markuss avatar image
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No Output for Floating Rate Note Index

Hello,

I am trying to get the underlying index of various instruments that are floating rate notes. I'm working with the Python API.

Example CUSIPs I am using are: 3128X9Z86, 31331GW70, 31331GYN3, 31331GYN3

When using get_data(CUSIP_List, fields=["TR.FICouponTypeDescription", (other (working) stuff)]) they all correctly show up as "Floating: Fixed Margin over Index". However, I cannot get the underlying index or the margin over the index. I've tried: 

"TR.FLOATINGRATENOTEINDEXVALUE"
"TR.UNDERLYINGINDEX"
"TR.NIFloatingRateIndex"
"TR.DISCOUNTMARGIN"
"TR.DivNotes"
"TR.Notes"
"TR.WarrantNotes"

All these codes gave me no output.

I would be happy with any of the following: (Optimally) the margin over the index, the mere index, the "coupon formula" field or the "notes" field.

Coupon Formula Field:

2021-07-04-1.png

Notes Field:

2021-07-04-2.png



Kindly,

Markus

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2021-07-04-2.png (45.8 KiB)
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1 Answer

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jason.ramchandani01 avatar image
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@Markuss Hi I think there are a number of fields that look promising:

1625472767828.png I think TR.FiIndexRIC might be the one you want. Also note the instruments you provided are matured instruments.

Regarding the margin over the index i found these:

1625473363244.png

I think TR.ADF_MARGIN is the one you want. I hope this can help.


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Markuss avatar image Markuss
Thank you very much, Jason! It works!


A question on your screenshots: Is that part of the formula builder or where is it possible to directly see the instrument-specific output?



Best,

Markus

jason.ramchandani01 avatar image jason.ramchandani01 Markuss
@Markuss So the screenshots are from the Data Item Browser app (type DIB into Eikon search bar) - here you can check all fields by content type and if you include an instrument it even gives you the values - which I find and II think in these cases - you will find useful.

We also have the latest generation Code Creator app (type CODECR into Eikon search bar - this one provides similar functionality but can actually creeate the python code snippet entirely for you. It does not have the values coming through but it has many functions that are quite useful such as PCT_CHANGE which can be included with your fields to get more output types - so you could check those out as well. I hope this can help.

Markuss avatar image Markuss jason.ramchandani01

Thank you again, this is indeed much more useful!

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