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The paper I'm reading refers to "bloomberg dataseries" in the following formats (using Australia as an example): Exchange rates: AUD/USD for London close: "AUDUSD CMPL Curncy". AUD/USD for New York close: "AUDUSD CMPN Curncy". Government yields: AUD for London close: "ADSW2 CMPL Curncy". AUD for London close: "ADSW2 CMPN Curncy".
If you do this calculation you will get. P = 0.005614 P = 0.005614. Now, the output of this is also in units of domestic per 1 unit of foreign notional (as pointed out by noob2). e.g. 0.005614 USD per 1 CAD notional. To get from CAD notional to USD notional, divide by X X. Pd = P/X = 0.7488% P d = P / X = 0.7488 %.
most recent last price happened on any exchange. current highest bid on all exchanges. current lowest ask on all exchanges. Usually the composite ticker will end with country code: IBM US, AAPL US, 1 HK etc. The Bloomberg exchange ticker will end with Bloomberg allocated exchange code: IBM UN (NYSE), AAPL UW (NASDAQ) etc. market-data. bloomberg.
Oct 11, 2023 · $\begingroup$ Thank you for your kindly response. I would like to ask short 2 questions. If the Implied yield is greater than the direct USD interest rate (spread is positive) , what does it mean? 1- This means that positive FX swap basis spread reflects a premium to borrow U.S. dollars in the FX swap market, meaning that borrowers pay a higher cost for obtaining funds than the relevant U.S ...
Jul 14, 2017 · 3. BDP () is for current data, to get past data at a specific time or range of times you use BDH () (where H refers to Historical Data) Try for example. This will search the time interval from 3:00:00 and 3:00:01 and give you the price of the last trade in that interval, in other words the most recent price as 3:00:01.
3 year US Sovereign Strips Yield: 0.633% (BEY) According to the straight-line method the Yield for 2.826 year is 0.5808% (BEY) While the interpolated 2.826 year Yield is 0.619% from Blg interpolation function (BEY) in addition, the additional information is below. 1 year US Sovereign Strips Yield: 0.11% (BEY)
Oct 18, 2023 · 10/20/2023-10/20/2024. 1-How does one calculate the cross currency swap basis SPREAD (-21.311 pips)? 2- Is this the basis spread formula? @AKdemy. As @AKdemy highlights that is not a mkt standard Xccy swap, becuase it is fixed fixed.
Oct 18, 2022 · I'm currently reading bloomberg's paper "Building the Bloomberg Interest Rate Curve – Definitions and Methodology." but I cannot rederive the discount rates even for the most simple terms. I found a similar post here How Bloomberg calculates discount rates for zero rate curves? but computations are not included. Any help is greatly appreciated!
Nov 23, 2016 · Market standard (since the low interest rate environment after 2008) is to use Normal Vol (used in the Normal / Bachelier model) Market data comes from contributors like Tullett, ICAP and the like and can be premium and vol quoted etc. Usually, these quotes are filtered and combined into a generic quote (e.g. BVOL for Bloomberg Volatility)
I managed to figure out the methodology by following your thread: for any day t and t+1: interpolate the interest rate from underlying curve, then get their zero rate respectively, then divide the two zero rate and annualize the result will give you the forward rate from day t to t+1. really appreciate your help mate! – pqsn. Aug 13, 2018 at ...
