The Bloomberg Swap Execution Facility (SEF) offers customers the ability to
execute derivative instruments across a number of different asset classes.
It is required to make publicly available price, trading volume and other
trading data. It publishes this data on its website. I have reverse
engineered the JavaScript libraries used by its website to call the
Bloomberg Application Service using POST requests to a target URL.
Usage
bsef(start, end = start, asset_class)
Arguments
start
the date from which data is required as Date or DateTime object.
Only the year, month and day elements of the object are used. Must be of
length one.
end
the date for which data is required as Date or DateTime object.
Only the year, month and day elements of the object are used. Must be of
length one. Defaults to the start date.
asset_class
the asset class for which you would like to download
trade data. Valid inputs are "CR" (credit), "IR" (rates),
"EQ" (equities), "FX" (foreign exchange), "CO"
(commodities) and must be a string.
Value
a tibble containing the requested data, or an empty tibble
if data is unavailable