Questions tagged [bloomberg]
Bloomberg L.P. is a privately held financial software, data and media company headquartered in New York City.
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Bloomberg DV01 and duration calculations
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 ...
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Trying to understand bloomberg's OVML quanto adjustments for commodities options
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 ...
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Bloomberg ICVS92 Cross Currency Basis
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 ...
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FED FUNDS OIS Swap Pricing/Valuation
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 ...
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change fraction price of treasury to decimal form [closed]
How do I change the Price of 99-26 and 7/8 to decimal form ?
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Simulating a Reverse Convertible Note on DLIB using BLAN
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 ...
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Bloomberg - monthly returns with and without dividends
Is it possible to get monthly returns with and without dividends from bloomberg?
I used ...
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Money market yield calculation convention for bonds with multiple outstanding coupon payments
[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 ...
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Building EURGBP basis
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 ...
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quantlib and bbg fixed coupon bond analytics do not match
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 ...
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Architecture for streaming and storing realtime data
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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Are there publicly available measures of option-implied skewness and kurtosis?
As mentioned in the title, are there publicly available measures of option-implied skewness and kurtosis? (that represent the skewness and kurtosis of the option-implied risk-neutral distribution, ...
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What do bloomberg mean by this carry measure?
https://assets.bbhub.io/professional/sites/10/Bloomberg-GSAM-Bond-Futures-Carry-Index-Fact-Sheet.pdf
On page two, they say
SELECTION & REBALANCE On a monthly basis, the carry measure for each
...
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Bond price using simple interest
I'm trying to model the price of a bond and having some trouble understanding how the "simple" convention works. The bond in question is IL0011948028. I'm able to replicate BBG's price using ...
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Pricing Treasury Futures Options on Bloomberg OVME screen
Hi all,
I am new to options pricing so just wanted to confirm the below -
If I would like to buy 14,020 contracts of the below and each contract contains 100,000 shares. According to OMON, the CSize ...
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