Data project - Fixed Income S&T
Hi Fellow Monkeys,
Recently started on a Fixed Income desk in a large bank and looking to aid senior members by building a relative value spread/pricing model in Excel - so they can see when certain bonds are cheap/expensive in relation to other similar bonds.
I believe this would add value to the desk as well as teach myself some valuable skills. I’m thinking of using the BBG API to pull data into Excel and go from there, but my knowledge of it is quite limited.
Does anyone have any experience with building models in excel via pulling Bloomberg data? And more generally, anyone have experience with risk weighted / relative value trades? Thanks!
Hi popper_stoic, any of these discussions helpful:
More suggestions...
You're welcome.
Bump
I’m not by my terminal right now but something like this probably already exists as a bbg template. Check the excel templates or
Hey appreciate the response. Not at my bbg at the moment either but if the template exists I’ll check it out for sure. Do you have much experience with the terminal and pulling data in general?
Yes, several years of experience using the Bloomberg api in excel, Python, and R
Bump
I do some light data pulls to model financial statements, create charts, follow a paper FI portfolio. Nothing quanty, but enough that I have some experience.FLDS has definitely been a friend of mine. Assuming you know BDP/BDH syntax, can get anything you need into excel. Can also use formula builder in plugin, but I prefer just manually creating them.
I’ll definitely need to check out FLDS.
I’m trying to build up my knowledge in BDP/BQL but I just got introduced to BQR to pull data from BBG runs. Any experience there?
My goal is to automate as much as possible to create bond pricing analysis. Live time preferably but with bonds not sure how feasible that is considering the market is OTC.
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