Currency conversion and CDS in Datastream

I Recently looked for data on Credit Default Swaps (CDS) in datastream to download data. When I tried to download data for the CDS Datastream worked fine and I got the information I wanted. When I tried to convert some CDS time series from Dollars into Euros using the Currency conversion option ~E I could not get any data from Datastream. Somehow Datastream refused to convert the original numers into a different currency. The example I used and tested was the Ford Motor company 5 Years CDS with the mnemonic: F....S5

I also tried different time priods and different data types (for instance SB, SM and SR). Nothing seemed to work. Through the Thomson Financial helpdesk I learned that there was a technical issue with converting CDS and this does not work for now. I have no idea when and if this issue will be resolved.

The only option that is left is to convert the currencies yourself. When you want to recalculate Datastream curency information you need to download and use the World Market Reuters (WMR) series for the currencies you need. Datastream uses these same exchange rates for its own automated currency conversions. In a previous post you can read more on exchange rates in Datastream.

Author information: LinkedIn

12:37 PM - 19 January 2010