How to retrieve Swaption Volatility in Excel API?

romerson.gadil · September 2020

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.

Alex Putkov.1 · September 2020

@romerson.gadil

You can retrieve this data using

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

chavalit-jintamalit · September 2020

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 · September 2020

https://community.developers.refinitiv.com/discussion/comment/66295#Comment_66295

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

romerson.gadil · September 2020

https://community.developers.refinitiv.com/discussion/comment/66315#Comment_66315

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)?

Alex Putkov.1 · September 2020

https://community.developers.refinitiv.com/discussion/comment/66357#Comment_66357

For timeseries you need to use the RICs for individual swaptions. E.g. to get the timeseries of volatility for a 6M option on a 1Y swap use

=RHistory("EUR6MX1Y=TTKL",".TIMESTAMP;.CLOSE","INTERVAL:1D START:01-SEP-2020 END:15-SEP-2020")

sumit · September 2020

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 · September 2020

https://community.developers.refinitiv.com/discussion/comment/66644#Comment_66644

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.

sumit · September 2020

https://community.developers.refinitiv.com/discussion/comment/66660#Comment_66660

Thanks a lot!!

sumit · September 2020

https://community.developers.refinitiv.com/discussion/comment/66660#Comment_66660

Hi,
  Tried this :-
ek.get_timeseries(
    ric_list,
    'CLOSE',
    start_date='2020-03-01',
    end_date='2020-03-11'
)

However, I get "No data available for every single ric in the ric_list.

Any thoughts?

Regards

Sumit

Alex Putkov.1 · September 2020

https://community.developers.refinitiv.com/discussion/comment/66841#Comment_66841

Are you able to reproduce this consistently or was it a once off request failure? Can you give an example of a RIC in your ric_list?

romerson.gadil · October 2020

Hi Team,

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

How to retrieve Swaption Volatility in Excel API?

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