Forum: C2 Software Development

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Subject:Reproducing C2 stats from Equity Series
Posted by:Echo Trader ( C2 Score: 543)  New msg
 
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When:2/20/12 (10:08) 
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Hello,
I am trying to verify some of the C2 statistics using the C2 Data Services API getequityseries command. Please help me with the following questions.

1) The returned series often contains more than one value per day. Can you tell which values are used in the daily computations? e.g. is the first reported value, or is the last reported value?

2) Also, do the monthly data computations follow the scheme of using the daily value from day 0, 30, 61, 91, ..., round(365/12*k) for k in {0, 1, 2, ...} as laid out in the JLE guide?

3) Could you also tell me which T-bill rate data (i.e. what term) is used for the risk-free rate? Also would it be possible to expose these rates as via getbenchmarkseries command? i.e.
xml.mpl?cmd=getbenchmarkseries&benchmark=RFreeRate&startdate=YYYYMMDD
&enddate=YYYYMMDD&session=xxx

If this last request is a lot of work, could you send (or post) a time series of some risk free rate values so I can adjust another source to match them.

Thanks,
ET
  
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