Questions tagged [bloomberg]

Question 1

I want to understand how the upfront fee that is paid/received at the start of a CDS is calculated. My understanding is that it should equal the difference between the present values of the two legs ...

Question 2

The more I look into curve construction the more questions I have. For example, the ICVS 490 curve (USD OIS SOFR vs Fixed): The calibration/input instruments are USOSFR* instruments, i.e. OIS SOFR ...

Question 3

I'm trying to understand Bloomberg's maturity date calculation logic for SOFR (Secured Overnight Financing Rate) instruments. When I access Bloomberg today, I can see current maturity dates, but I ...

Question 4

Hello I am looking for help regarding BQL on Excel or R (via Rblpapi) I am looking to obtain all outstanding bonds from a related equity (via its ticker) with its corresponding Bloomberg ID. Say cell ...

Question 5

In Bloomberg, how do they calculate the DV01 and modified duration values? Is this calculation different for nominal bonds versus TIPS? And, for TIPS, does bloomberg report nominal duration or real ...

Question 6

In the image we can see a screenshot of OVML pricing an option on soybean futures. My main issue is that I expect the quanto forward to align with: F_qto = F * exp(-rho * asset_vol * fx_vol * T), but ...

Question 7

Can someone help me understand how Bloomberg computes the Cross currency basis, for maturity < 1 year? On the ICVS 92 (EUR vs. USD basis) page, we can see the CC basis mid (I don't have access to ...

Question 8

I'm using BBG SWPM to price a very short-term Fed Funds OIS Swap. However, using par curve 42 and using par curve 85 as the forward curve have very big NPV difference. Can someone comment on which ...

Question 9

How do I change the Price of 99-26 and 7/8 to decimal form ?

Question 10

Bonjour, i recently found out of the existence of DLIB on Bloomberg where one can simulate pricing and various risk analysis for derivatives and structured products. there are several templates ...

Question 11

Is it possible to get monthly returns with and without dividends from bloomberg? I used ...

Question 12

[Note: The original question was edited to focus on bonds with multiple outstanding coupon payments] Certain investment grade securities would switch to trading in Money Market Yield towards the end ...

Question 13

I would like to track the basis between Euro and some other currencies. Bloomberg currently only shows EURvsUSD basis and any other currency basis is also against USD. I was wondering, given the two ...

Question 14

We are trying to match analytics like ytm, duration and convexity iven Bloomberg Price as an input. For most bonds, quantlib and bbg fixed bond analytics match. But for very few bonds ytm matches but ...

Question 15

I have realtime tick data coming from Bloomberg B-PIPE for thousands of stocks and equity options. I have multiple multithreaded docker instances each processing subset of tickers. The processed data ...

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Questions tagged [bloomberg]

CDS upfront fee in CDSW

ICVS 490 curve date vs swap settlement date

How does Bloomberg calculate historical maturity dates for SOFR instruments with different settlement dates?

Obtain a security's related bonds

Bloomberg DV01 and duration calculations

Trying to understand bloomberg's OVML quanto adjustments for commodities options

Bloomberg ICVS92 Cross Currency Basis

FED FUNDS OIS Swap Pricing/Valuation

change fraction price of treasury to decimal form [closed]

Simulating a Reverse Convertible Note on DLIB using BLAN

Bloomberg - monthly returns with and without dividends

Money market yield calculation convention for bonds with multiple outstanding coupon payments

Building EURGBP basis

quantlib and bbg fixed coupon bond analytics do not match

Architecture for streaming and storing realtime data

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