IS it safe to use pricing paramenter option: Settle (deprecated) in inputVolatilityType and when ...

mauren.pagsuyuin
mauren.pagsuyuin LSEG
in Refinitiv Data Platform Libraries

...will be the deadline for this field?

FOR IPA Volatility Surfaces : ETI

CLient is asking if it safe to use pricing paramenter option:
Settle (deprecated) in inputVolatilityType and when will be the deadline for this field? The data is shown here:
https://developers.refinitiv.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-volatility-surfaces-eti

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    @mauren.pagsuyuin

    I just ran a quick test on API Playground. When I set {"inputVolatilityType": "Settle"} in the surfaceParameters, the response returned an error saying "Invalid input: Unbindable json. Error converting value \"Settle\" to type 'System.Nullable`1[TR.Qps.Models.MarketData.Enums.EVolatilityType]".

    As the documentation says and as my test confirms, "Settle" enumerated value has been deprecated for inputVolatilityType parameter and it is no longer possible to use it.

Answers

  • mauren.pagsuyuin
    mauren.pagsuyuin LSEG

    Hi team, I wish to follow up


  • mauren.pagsuyuin
    mauren.pagsuyuin LSEG

    @Alex Putkov.1 THANK YOU! Internal has additional query:

    1. Is there a timeline for the retirement of the usage of ‘Settle’ in the field of ‘inputVolatilityType’?
    2. It was advised that the alternative for ‘inputVolatilityType’ is the 'timestamp'. Is there any documentation or manual for the alternative field ‘timestamp’? Or what is the difference for different values?
  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭

    @mauren.pagsuyuin

    1. As per my previous response, 'Settle' value is already removed from enumeration for inputVolatilityType parameter. It is no longer possible to use this value. In other words there cannot be a timeline for the retirement of this value because it is already retired.
    2. If you'd like to use settlement values to build volatility surface, you should indeed use pricing parameter named timeStamp and set its value to 'Settle'. This parameter is described in the API documentation you referenced in your original post on this thread.
  • mauren.pagsuyuin
    mauren.pagsuyuin LSEG
    https://community.developers.refinitiv.com/discussion/comment/76873#Comment_76873

    @Alex Putkov.1 my apologies, I forgot to mention that 'Settle' actually still worked s provided by the internal and also worked no my end.

    {

    "universe": [

    {

    "surfaceTag": "1",

    "underlyingType": "Eti",

    "underlyingDefinition": {

    "instrumentCode": "0700.HK@RIC"

    },

    "surfaceParameters": {

    "priceSide": "Mid",

    "volatilityModel": "SVI",

    "inputVolatilityType": "Settle",

    "xAxis": "Date",

    "yAxis": "Strike"

    },

    "surfaceLayout": {

    "format": "Matrix",

    "yPointCount": 10

    }

    }

    ]

    }

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