I am interested to compute for a set of banks their historical outstanding average YTM of all their

Question

I am interested to compute for a set of banks their historical outstanding average YTM of all their unsecured bonds. At the moment I have a list of ParentOAPermID of banks that I am interested in. So at the moment I first retrieve for all the banks via the api using the get_data function all bonds issued by that specific bank. After I have retrieved all bonds for a given bank and collected their respective isins I then query using the get_history function of the api of all the bonds in the list retrieved earlier the quarterly ytm. However, using this methodology I run into two problems

(1) I am for many bonds not able to retrieve any pricing data

(2) I run into API rate daily limits.

So, my question is whether you have a better strategy to compute for a set of banks their historical YTM of outstanding unsecured debt and whether you could possibly provide a useful python code that I can build up on. Or is the only way forward the way I described above?

wasin.w V3 · Answer

Hello @Varun_KC

I think you should find the root cause of the problems first.

Issue 1: Many bonds not able to retrieve any pricing data

My Suggestion: You can enable the Data Library log file (or console), then try the get_data or get_history method with the bond that not able retrieve pricing data. The log file should show what error and the reason the library does not return any data to you like

* The universe is not found
* The universe does not support the following fields: [field_xx].
* Permission issue
* etc.

You can enable the API log via the lseg-data.config.json file as follows:

{

  "logs": {

    "level": "debug",

    "transports": {

      "console": {

        "enabled": true
      },

      "file": {

        "enabled": true,

        "name": "lseg-data-lib.log"

      }

    }

  }

}

Issue 2: I run into API rate daily limits.

My Suggestion: Check the Library Usage and Limits Guideline document and try to reduce request data point or data range on an application side.

Jirapongse · Answer

@Varun_KC

Thank you for reaching out to us.

This forum is dedicated to software developers using LSEG APIs. The moderators on this forum do not have deep expertise in every bit of content available through LSEG products, which is required to answer content questions such as this one.

The best resource for content questions is the Helpdesk support team, which can be reached by submitting queries through LSEG Support. The support team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

You need to ask for the Excel formula, such as =RDP.Data, that can be used to retrieve the required data. Then, we can help you converting that formula to Python code. You can also refer to the How to Convert the =@RDP.Data Excel Function into Code Using the LSEG Data Library for Python article.

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