FX Options Example Doesnt Work

rory.winston
Newcomer
Hi
The code book code below doesnt return anything and I cant see any errors (this is from the examples)
Any idea why this doesnt work?
rdp.get_option_analytics(
universe = option.Definition(
underlying_type=option.UnderlyingType.FX,
underlying_definition="AUDUSD",
tenor="5M",
strike=0.6400,
call_put="Call",
exercise_style = "European",
notional_amount=1000000,
notional_ccy="AUD"
),
fields = ["ValuationDate","OptionType","ExerciseType","ExerciseStyle","EndDate",
"StrikePrice","PremiumPercent","DeltaPercent","GammaPercent"]
)
0
Best Answer
-
Hi @rory.winston,
Thanks for raising this issue. The example in the notebook, which is where you pulled this from, I confirmed doesn't work. You can actually see the result of this call by executing the following:
rdp.get_last_status()
This results in an error complaining about Exercise Style
Change the line:
exercise_style = "European",
to
exercise_style = "Euro",
I will raise this to the product manager. Thanks.
0
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