Time series for normal implied vol for swaptions.

Hi,

I'm trying to retrieve time series for normal vol for swaptions (as a default eikon gives lognormal vol); using excel api, the following retrieves the desired data, but how to do this in the python api? thanks

=RHistory("USD3MX10YATM=R","NORMALIZED VOLATILITY.Timestamp;NORMALIZED VOLATILITY.Value","INTERVAL:1D",,"TSREPEAT:NO CH:Fd",K9)

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Accepted answers

nick.zincone

Hi @miguel.costa,

I don't see where the helpdesk indicated the timeseries data was available. I can certainly see the FIDs 393 and 1032 when using the get_data() API call, but only the latest values.

Can you provide the code you are trying to use to "retrieve normal vols"? FYI, the Eikon Data API cannot retrieve all data within Eikon. For example, the get_timeseries() is presently limited to a single view of data, i.e. HIGH, LOW, OPEN, CLOSE, VOLUME.

All comments

nick.zincone

Hi @miguel.costa,

Looking within the DIB (Data Item Browser), I don't see any timeseries data available for: USD3MX10YATM=R using the get_data() API call. There are some daily data points such as OPEN, CLOSE, HIGH, LOW available, but there is no timeseries view available to retrieve the Normalized Volatility:

Please reach out to the Refinitiv Helpdesk to confirm whether or not this content is available.

miguel.costa

Thanks for your answer. I spoke with the helpdesk and they suggested that I follow this up with the community forum. The time series data is indeed available, this is what they said:

"For USD, normal vol is the input but lognormal vol is calculated and published to the same RICs. If you are referring to FID usage or any other mapping, we always use FID393 for lognormal and 1032 for normal vol which are the same for all currencies regardless of the inputs."

Is there any way to use this info to retrieve normal vols via the api? I have tried and failed; I do hope that it is not the case that only a subset of eikon data is available via the eikon api.

nick.zincone

Hi @miguel.costa,

I don't see where the helpdesk indicated the timeseries data was available. I can certainly see the FIDs 393 and 1032 when using the get_data() API call, but only the latest values.

miguel.costa

The only was I was able to retrieve the time series was with the excel API call I posted above - not with the data api. again, it is disappointing that only a subset of the data is available with the data api. certainty a new feature you guys should be adding. In any case, thanks for your time.

nick.zincone

Hi @maurizio.lospinoso

You should be able to retrieve this historical data via the Data Library for Python:

rd.get_history(universe="USD3MX10YATM=R", fields=["NORMV_OMID"], start="2019-10-31")

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