Volatility Surface

kenley.macandog123
kenley.macandog123 LSEG
in Eikon Data APIs

Hi Team,


Script below works for 0#STXEVOLSURF but not for 0#IBOVVOLSURF

Please advise.


codebook.png


codebook-error.png

import refinitiv.dataplatform.eikon as ek

import pandas as pd

ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')


chain_df, err = ek.get_data('0#STXEVOLSURF',['GV3_TEXT','GV4_TEXT'])


moneyness_labels = chain_df['GV4_TEXT'].tolist()


vol_surf_df = pd.DataFrame(columns= moneyness_labels)


ric_list = chain_df['Instrument'].tolist()


chain_df.set_index('Instrument', inplace=True)


#chunksize = 50


chunksize = 50


for i in range (0, len(ric_list), chunksize):


tmp_df = ek.get_timeseries(ric_list[i:i+chunksize],


start_date='2023-02-14', end_date='2023-02-16',interval='daily')


for x in tmp_df.columns:


vol_surf_df.loc[chain_df.loc[x,'GV3_TEXT'],


chain_df.loc[x,'GV4_TEXT']] = tmp_df[x][0]


vol_surf_df

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @kenley.macandog123

    Thanks for reaching out to us.

    The error messages indicate that those items don't support daily historical data.

    I checked with Eikon Quote and got the same errors.

    1679031767041.png

    It seems that Eikon doesn't provide historical data for those items. You can contact the Eikon or Refinitiv Workspace support team via MyRefinitiv to confirm this.

    I hope that this information is of help.

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