download_data_wrds_fisd {tidyfinance}

Download Filtered FISD Data from WRDS

Description

Establishes a connection to the WRDS database to download a filtered subset of the FISD (Fixed Income Securities Database). The function filters the fisd_mergedissue and fisd_mergedissuer tables based on several criteria related to the securities, such as security level, bond type, coupon type, and others, focusing on specific attributes that denote the nature of the securities. It finally returns a data frame with selected fields from the fisd_mergedissue table after joining it with issuer information from the fisd_mergedissuer table for issuers domiciled in the USA.

Usage

download_data_wrds_fisd(additional_columns = NULL)

Arguments

additional_columns

Additional columns from the FISD table as a character vector.

Value

A data frame containing a subset of FISD data with fields related to the bond's characteristics and issuer information. This includes complete CUSIP, maturity date, offering amount, offering date, dated date, interest frequency, coupon, last interest date, issue ID, issuer ID, SIC code of the issuer.

Examples

  fisd <- download_data_wrds_fisd()
  fisd_extended <- download_data_wrds_fisd(additional_columns = c("asset_backed", "defeased"))