Why are the results different between BLOOMBERG and BLP when retrieving end of month data using HISTORY in Datafeed Toolbox 4.3 (R2012a)?

When I request data from Bloomberg using

Ticker =       'EURCHF Curncy'; 

Mnemonic=      'PX_LAST'; 

BBStartString= '03/31/11'; 

BBEndString=   '04/01/11'; 

Freq=          'mas'; 

Connect = bloomberg; 

DataB1 = fetch(Connect,Ticker,'HISTORY',Mnemonic,BBStartString, BBEndString,Freq)

I obtain the result 1.3012 for 31-Mar-2011.

But using the equivalent

Ticker =       'EURCHF Curncy'; 

Mnemonic=      'PX_LAST'; 

BBStartString= '03/31/11'; 

BBEndString=   '04/01/11'; 

Per = {'monthly' 'all_calendar_days' 'previous_value'} 

Connect = blp; 

DataB2 = history(Connect,Ticker,Mnemonic,BBStartString,BBEndString,Per)

I obtain the result 1.3153 for 01-Apr-2011.

I would like to know why the dates of the results are different. Moreover, I would like to use BLP, but get monthly data for the end of month just like using Connect = bloomberg.

Answer 1

[MathWorks Support Team]

The new Bloomberg interface--BLP AND HISTORY--in Datafeed Toolbox 4.3 (R2012a) treats the ToDate (fifth) input to HISTORY as the anchor date. Thus, using '04/01/11' as the ToDate input returns data for the first of the month. The old Bloomberg interface--BLOOMBERG and FETCH--returns the last day of each month for monthly periodicity, regardless of the ToDate input. In this particular case, using a ToDate input of '03/31/2011' returns the data for the last day of the month.