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)

Best Answer

  • nick.zincone
    nick.zincone admin
    Answer ✓

    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.

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