Using rdp.get_option_analytics - what is the Parameter to get prices from other Contributors?

dianne.palmario
dianne.palmario LSEG
in Eikon Data APIs

Using rdp.get_option_analytics - what is the Parameter to get prices from other Contributors?


Client's full script is below and right now it gets prices from our Composite RIC CLP=

But what client wants to add in this script is to be able to add a parameter where he can specify a particular contributor, e.g. Central Bank of Chile - RIC CLPOB= - Please advise how to achieve this. Thank you.


import pandas as pd

import refinitiv.dataplatform as rdp

from refinitiv.dataplatform.content import ipa

from refinitiv.dataplatform.content.ipa import option

rdp.open_desktop_session('### YOUR APP KEY ###')

pd.set_option('display.max_columns', 100)


##############CAMBIAR FECHA##############

FECHA_CIERRE = "2023-03-13"


df = rdp.get_option_analytics(

universe = [option.Definition(

underlying_type=option.UnderlyingType.FX,

underlying_definition='USDCLP',

strike=760.0,

call_put="Call",

exercise_style = "Euro",

notional_amount=1000,

notional_ccy="USD",

buy_sell="buy",

end_date='2023-03-20',


),

option.Definition(

underlying_type=option.UnderlyingType.FX,

underlying_definition="USDCLP",

strike=760.0,

call_put="Put",

exercise_style = "Euro",

notional_amount=250000,

notional_ccy="USD",

buy_sell="sell",

end_date='2023-03-20'

)],

calculation_params = option.CalculationParams(

valuation_date=FECHA_CIERRE,

pricing_model_type = ipa.enum_types.PricingModelType.BLACK_SCHOLES

),

# fields = ["ValuationDate","OptionType","ExerciseType","ExerciseStyle","EndDate",

# "StrikePrice","DealCcy","UnderlyingCcy","MarketValueInDealCcy","VolatilityPercent","DeltaPercent","GammaPercent", "InstrumentDescription"]

)


df['DeltaUSD'] = df['DeltaPercent']*df['NotionalAmount']/100

df['GammaUSD'] = df['GammaPercent']/100*1000000

df['VegaUSD'] = df['VegaPercent']/100*1000000

df['ThetaUSD'] = df['ThetaPercent']/100*1000000

df['PriceCLP'] = abs(df['MarketValueInDomesticCcy']/df['NotionalAmount'])

df['ImpliedVolatilityPercentf'] = df['ImpliedVolatilityPercent']

df['DomesticDepositRatePercentf'] = df['DomesticDepositRatePercent']

df['ForeignDepositRatePercentf'] = df['ForeignDepositRatePercent']

df['InstrumentDescriptionf'] = df['InstrumentDescription']

df['ValuationDatef'] = df['ValuationDate']

df



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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @dianne.palmario

    Thanks for reaching out to us.

    On this page, you can check all parameters for IPA Financial Contracts: Option Contracts - FX. I couldn't find any parameter that can be used to specify a contributor.

    However, to confirm this, you need to contact the Instrument Pricing Analytics - Refinitiv Data Platform support team directly via MyRefinitiv.

    I hope that this information is of help.

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