Using the python API, is there any way to retrieve the data from the Volatility Chart on XAU= (Volatility QC in eikon [VOLC].
Having this is a table with vol with different terms/pillars.
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Using the python API, is there any way to retrieve the data from the Volatility Chart on XAU= (Volatility QC in eikon [VOLC].
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Hi @jeremiemae.celajes ,
I was trying to answer to your question yesterday, however failed to find a comprehensive one. But let me share with you what I have found during my research and maybe you find it useful to take it from there.
I have tried using Instrument Price Analytics from Refinitiv Data Libraries to get the volatility surface for the required instrument. Please see my code below:
import refinitiv.data as rd
from refinitiv.data.content.ipa import surfaces
rd.open_session()
response = surfaces.fx.Definition(
surface_tag="XAU/USD",
underlying_definition=surfaces.fx.FxSurfaceDefinition(
fx_cross_code="XAUUSD"
),
surface_parameters=surfaces.fx.FxCalculationParams(
volatility_model="SVI",
x_axis="Tenor",
y_axis="Strike",
calculation_date="2023-10-18",
),
surface_layout=surfaces.fx.SurfaceLayout(
format="Matrix",
),
).get_data()
response.data.df
Below is the output for the the requested calculation date:
I have tried to see if there is a way to provide a time range, but failed to find a way to do it. You may try to make separate requests for each day.
You may find more information about the parameters/fields from the API Playground page of the endpoint and the official documentation here.
Also, you find useful some additional examples from our GitHub page.
Hope this helps, I will let my colleagues to contribute in case have missed anything here.
Best regards,
Haykaz
