Why are the results different between BLOOMBERG and BLP when retrieving end of month data using HISTORY in Datafeed Toolbox 4.3 (R2012a)?

3 views (last 30 days)
When I request data from Bloomberg using
Ticker = 'EURCHF Curncy';
Mnemonic= 'PX_LAST';
BBStartString= '03/31/11';
BBEndString= '04/01/11';
Freq= 'mas';
Connect = bloomberg;
DataB1 = fetch(Connect,Ticker,'HISTORY',Mnemonic,BBStartString, BBEndString,Freq)
I obtain the result 1.3012 for 31-Mar-2011.
But using the equivalent
Ticker = 'EURCHF Curncy';
Mnemonic= 'PX_LAST';
BBStartString= '03/31/11';
BBEndString= '04/01/11';
Per = {'monthly' 'all_calendar_days' 'previous_value'}
Connect = blp;
DataB2 = history(Connect,Ticker,Mnemonic,BBStartString,BBEndString,Per)
I obtain the result 1.3153 for 01-Apr-2011.
I would like to know why the dates of the results are different. Moreover, I would like to use BLP, but get monthly data for the end of month just like using Connect = bloomberg.

Accepted Answer

MathWorks Support Team
MathWorks Support Team on 3 Jul 2013
The new Bloomberg interface--BLP AND HISTORY--in Datafeed Toolbox 4.3 (R2012a) treats the ToDate (fifth) input to HISTORY as the anchor date. Thus, using '04/01/11' as the ToDate input returns data for the first of the month. The old Bloomberg interface--BLOOMBERG and FETCH--returns the last day of each month for monthly periodicity, regardless of the ToDate input. In this particular case, using a ToDate input of '03/31/2011' returns the data for the last day of the month.

More Answers (0)

Tags

No tags entered yet.

Products


Release

R2012a

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!