FX Options Example Doesnt Work

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rory.winston
rory.winston Newcomer
in Refinitiv Data Platform Libraries

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"]
)
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Best Answer

  • nick.zincone
    nick.zincone admin
    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

    image

    Change the line: 

    exercise_style = "European",

    to

    exercise_style = "Euro",


    I will raise this to the product manager. Thanks.

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