Bloomberg API - fetch futures curve on a particular date
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Hi, I would like to ask how I can use the history() function from the Bloomberg Open API to get an entire futures curve on a particular date. I have been able to download the curve available as of today (by e.g. calling getdata(conn, 'CL1 COMB Comdty', 'FUT_CHAIN') ) but when I try calling the equivalent security in the historical dataset, I get an empty array as output from e.g. history(conn, 'CL1 COMB Comdty', 'FUT_CHAIN',StartDate,EndDate). Bloomberg help tells me that in Excel, I can get the entire curve for a specific date by calling e.g. =BDS("CL1 COMB Comdty", "FUT_CHAIN", "CHAIN_DATE = 20141006"), so the data exists and there should be an equivalent way to reach the data via Matlab.
Thanks, Juraj
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Roger Wohlwend
2014-11-4
0 个投票
You are using the wrong function. You have to work with getdata, not with history, because getdata is the Matlab equivalent of BDS in Excel. In the BDS field you use the override field CHAIN_DATE to determine the date of the curve. Now do the same with Matlab. The function getdata allows override fields as well, so put the CHAIN_DATE=20141006 as override field in the function and you should get the desired result.
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