Rblpapi provides R with access to data and calculations from Bloomberg Finance L.P. via the API libraries provided by Bloomberg.
A valid and working Bloomberg installation.
Here are a few simple examples.
library(Rblpapi)
con <- blpConnect() # automatic if option("blpAutoConnect") is TRUE
spx <- bdh(securities = "SPX Index",
fields = "PX_LAST",
start.date = as.Date("2013-03-01"))
spx_ndx <- bdh(securities = c("SPX Index","NDX Index"),
fields = "PX_LAST",
start.date = as.Date("2013-03-01"),
include.non.trading.days = TRUE)
monthly.options <- structure(c("ACTUAL", "MONTHLY"),
names = c("periodicityAdjustment",
"periodicitySelection"))
spx_ndx_monthly <- bdh(securities = c("SPX Index","NDX Index"),
fields = "PX_LAST",
start.date = as.Date("2012-01-01"),
options = monthly.options)
goog_ge_div <- bdh(securities = c("GOOG Equity","GE Equity"),
fields = c("PX_LAST","CF_DVD_PAID"),
start.date = as.Date("2012-11-01"))
goog_ge_px <- bdp(securities = c("GOOG Equity","GE Equity"),
fields = c("PX_LAST","DS002"))Fully functional on Linux, OS X and Windows.
The package is on CRAN and can be installed as usual via
Interim (source or binary) releases may be also be made available through the ghrr drat repository as well and can be accessed via
install.packages("drat") # easier repo access + creation
drat:::add("ghrr") # make it known
install.packages("Rblpapi") # install itWhit Armstrong, Dirk Eddelbuettel and John Laing
GPL-3 for our code
License.txt for the Bloomberg libraries and headers it relies upon