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Rblp / Rblpapi

R package interfacing the Bloomberg API from https://www.bloomberglabs.com/api/
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Downloading Yield Curve Data #381

Open OussCHE opened 1 year ago

OussCHE commented 1 year ago

As I am interested in downloading already constructed Yield Curve data from Bloomberg (ICVS), I realized that RBLPAPI is probably not able to do so. To give you an example when using the EXCEL add-on, you can use the BCurve function to get the Yield curve according to a certain ID. For example:

BCurve("EUR OIS";"Output";"Mid")

klin333 commented 1 year ago

BCurve is an Excel function. To get the exact behaviour using the C++ (and hence R) API is very difficult but technically possible. You'll need the '//blp/irdctk3' service with probably 'GetSpotCurve'. You'll have to ask Bloomberg to find you the docs and schema for this service.

Anyway, the parameters required in this request, and the work involved in parsing the results, is a lot of trial and error. If you are really interested you probably are better off using the python API and work it out interactively.

If all the low level c++/python blp api steps are worked out, then I suppose it won't be too hard to translate into Rcpp implementation and hence R API.