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.
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.
Hi @jeremiemae.celajes ,
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Thanks,
AHS
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