ipa financial contracts Swaption python API not working for call_put = 'PUT'

olga.schulz
olga.schulz Newcomer
in Refinitiv Data Platform Libraries

I am trying to to use the Swaption Pricer via the Python Eikon Api, and it seems that the functionality does not work if the Swaption is specified as a call option. For a put option I get reasonable results, but for a call option I only get None values. See below example:


This one works:


swapDef = ipa.swap.Definition(start_date='2022-10-26', end_date='2030-10-26',

... template='EUR_AB3E')

... swaptionDef = [(ipa.swaption.Definition(instrument_tag="mySwaption",

... end_date='2022-10-26',

... strike_percent=2.2,

... buy_sell=ipa.enum_types.BuySell.BUY,

... call_put=ipa.enum_types.CallPut.PUT,

... exercise_style=ipa.enum_types.ExerciseStyle.EURO,

... underlying_definition=swapDef),

... ipa.swaption.CalculationParams(valuation_date='2022-06-23'))]

...

... valuationResult = rdp.get_swaption_analytics(

... universe=swaptionDef,

... calculation_params=ipa.swaption.CalculationParams(valuation_date=trade_date),

... fields=['MarketValueInDealCcy'])

valuationResult

MarketValueInDealCcy

0 24137.521123



But with the same input, except using call_put=ipa.enum_types.CallPut.CALL, I'll get None values:


swapDef = ipa.swap.Definition(start_date='2022-10-26', end_date='2030-10-26',

... template='EUR_AB3E')

... swaptionDef = [(ipa.swaption.Definition(instrument_tag="mySwaption",

... end_date='2022-10-24',

... strike_percent=2.2,

... buy_sell=ipa.enum_types.BuySell.BUY,

... call_put=ipa.enum_types.CallPut.CALL,

... exercise_style=ipa.enum_types.ExerciseStyle.EURO,

... underlying_definition=swapDef),

... ipa.swaption.CalculationParams(valuation_date='2022-06-23'))]

...

... valuationResult = rdp.get_swaption_analytics(

... universe=swaptionDef,

... calculation_params=ipa.swaption.CalculationParams(valuation_date=trade_date),

... fields=['MarketValueInDealCcy'])

...

valuationResult

MarketValueInDealCcy

0 None



Could there be a bug in the pricer?

Tagged:

Best Answer

  • Michel B
    Michel B LSEG
    Answer ✓

    Hi @olga.schulz

    The 'callput' is not supported for swaptions, could you try instead 'swaptionType' (Payer/Receiver) as illustrated below?

    Thanks,

    Regards

    Michel


    {
        "fields": [
            "MarketValueInReportCcy",
            "ErrorMessage"
        ],
        "universe": [
            {
                "instrumentType": "Swaption",
                "instrumentDefinition": {
                    "instrumentTag": "test",
                    "startDate": "2022-10-26",
                    "endDate": "2030-05-21",
                    "strikePercent": 1.0,
                    "buySell": "Buy",
                    "exerciseStyle": "EURO",
                    "swaptionType": "Payer",
                    "underlyingDefinition": {
                        "tenor": "5Y",
                        "template": "EUR_AB3E"
                    }
                },
                "pricingParameters": {
                    "valuationDate": "2022-06-23",
                    "reportCcy": "USD"
                }
            }
        ]
    }

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