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Wasim Akram avatar image
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Getting Realized & Implied volatilities for different time horizon for STOXX50E and SPX (.SP500) indices from Datastream in series format.

I can pull realized data for multiple time horizon for a single date using Eikon API but I need series of data. Below is an example for .STOXX50E pulled using EIKON API.

However this is for one data point i.e, only latest value. I need series of data, example like data series for last 6 months or 1 year or 5 years for every business day for different time horizon.

Also, I do not see implied volatility field for each time horizon in code creator app. I also require this in data series like above for realized volatility.

Can you please help how can I pull the data using Datastream API?

  1. import refinitiv.data.eikon as ek

  3. ek.set_app_key('DEFAULT_CODE_BOOK_APP_KEY')

  5. df, err = ek.get_data(
  6. instruments = ['.STOXX50E'],
  7. fields = [
  8. 'TR.Volatility10D',
  9. 'TR.Volatility30D'
  10. ]
  11. )

  13. display(df)
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wasin.w avatar image   wasin.w

Hi @Wasim Akram

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS


raksina.samasiri avatar image   raksina.samasiri

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,
AHS

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Jirapongse avatar image
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@Wasim Akram

Thank you for reaching out to us.

This forum is aimed at answering "how to" types of questions about using Refinitiv APIs and the moderators are not Content/Data specialists. For content availability type questions, I recommend you raise a ticket at Product Support | MyRefinitiv for the product concerned.

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