Mapping Bloomberg market data Commodity

Delayed rates Interest and FX rates

Some rates has 1 or more days delay due to charges e.g. EURIBOR. A complete market value curve is needed in month end for market valuation of derivatives. In those cases it is possible to add a separate curve for Fixing and market valuation and on the market valuation prices with delay type date column name Today. Then these will always have the complete market value curve on month end.

Each tab in the integration are adding the below codes to the Supplier Code in the request to Bloomberg, ie the below codes should not be included in the mapping in TS:

FX option = Curncy

Commodities

Prerequisite

The integration with Bloomberg requires a certificate. The certificate is created by Bloomberg, or by the customer with assistance from Bloomberg.  The certificate should be of type p12.

The certificate is uploaded to the 'Credentials' menu in Treasury systems. Please note that the password to the certificate is also required.

Note! if the certificate is created with OpenSSL please use version v1 (not v3).

Import Cash prices

Molbyden, needs to be map with supplier Code and period.

Prices for 3rd wednesday

Commodity prices forward should be mapped without period.

Commodity prices forward should be mapped without period.

LMCADP LDOM 24M => LMCADP 20210730, LMCADP 20210831, etc (last day of month which is not a saturday or sunday) 

It is possible to enter codes manually  that not are included in the predefined list

Maturity date for commodites

The maturity is set automatically according to the following priority

1. From tag FUT_DLV_DT_LAST 

2. Date from Supplier code. For example code FLSOM0 20241212 gives maturity date 2024-12-12  ***)

3. From tag FUT_DAYS_EXIPRE. Contains number of days to maturity that is used to calculate the maturity date

***)  Date calculated from date codes

Response file from Bloomberg

Code 0 - Indicates success

Code 10 indicates error