How to retrieve Swaption Volatility in Excel API?

Raising the query on an external client's behalf:

Client is seeking assistance on how to pull the Swaption Volatility as seen in this page Home > Fixed Income > Interest Rate Derivatives > Swaptions
Eikon link: http://emea1.apps.cp.thomsonreuters.com/Explorer/GuideDefault.aspx?s=GFI40+AL+3&st=Menu+G+C&context=OV

using Excel API.

He would like to pass in a date and get the time-series of this swaption volatility surface.

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Accepted answers

Alex Putkov.1

@romerson.gadil

You can retrieve this data using

=TR("EURSWPTNS=TTKL","GV4_TEXT;GEN_TEXT16;PRIMACT_1","SKIP:1-2")

All comments

chavalit-jintamalit

Hi @romerson.gadil

You would need to know RIC and fields carrying the information then you can use =TR function in Excel.

If you do not know the RIC and fields, you can raise a ticket to Refinitiv Content Helpdesk at my.refinitiv.com/

romerson.gadil

Hi Chavalit,

I appreciate your reply. Here's the RIC that the client would like to get the Swaption Volatility in Excel API / Eikon API - EURSWPTNS=TTKL

Here's the page where the client was referring from "Swaption Volatility"

http://emea1.apps.cp.thomsonreuters.com/Explorer/GuideDefault.aspx?s=GFI40+AL+3&st=Menu+G+C&context=OV

Alex Putkov.1

@romerson.gadil

You can retrieve this data using

=TR("EURSWPTNS=TTKL","GV4_TEXT;GEN_TEXT16;PRIMACT_1","SKIP:1-2")

romerson.gadil

Thank you Alex Putkov.

The client also asked if he can extract the time-series (as this looks like it extracts the current snapshot of the vol)?

sumit

Hi,

I am running this from python

ek.get_timeseries(
    ric_list,
    'CLOSE',
    start_date=start_date,
    end_date=end_date
)

where my list of rics is....

EUR_SWAPTIONS_RIC_LIST = [
    "EUR1MX1Y=TTKL", "EUR1MX2Y=TTKL", "EUR1MX3Y=TTKL", "EUR1MX4Y=TTKL", "EUR1MX5Y=TTKL", "EUR1MX7Y=TTKL", "EUR1MX10Y=TTKL",
    "EUR6MX1Y=TTKL", "EUR6MX2Y=TTKL", "EUR6MX3Y=TTKL", "EUR6MX4Y=TTKL", "EUR6MX5Y=TTKL", "EUR6MX7Y=TTKL", "EUR6MX10Y=TTKL",
    "EUR5YX1Y=TTKL", "EUR5YX2Y=TTKL", "EUR5YX3Y=TTKL", "EUR5YX4Y=TTKL", "EUR5YX5Y=TTKL", "EUR5YX7Y=TTKL", "EUR5YX10Y=TTKL",
    "EUR10YX1Y=TTKL", "EUR10YX2Y=TTKL", "EUR10YX3Y=TTKL", "EUR10YX4Y=TTKL", "EUR10YX5Y=TTKL", "EUR10YX7Y=TTKL", "EUR10YX10Y=TTKL",
    "EUR20YX1Y=TTKL", "EUR20YX2Y=TTKL", "EUR20YX3Y=TTKL", "EUR20YX4Y=TTKL", "EUR20YX5Y=TTKL", "EUR20YX7Y=TTKL", "EUR20YX10Y=TTKL",
]

and start_date: 1st March, 2020 and end_date: 26th Sept, 2020.

However, I only get data from 6th July, 2020

Can I not retrieve data for a longer look-back?

Thanks,

Sumit

Alex Putkov.1

See the answer on this thread. The response to a single get_timeseries call for interday data is limited to 3K rows, which is shared by all instruments in the call.

romerson.gadil

Hi Team,

Thank you for your help. However, for some reasons, I can't find any 'Accept' button.

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