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Moti.Konak avatar image
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Option Contracts - Eti - Dictionary

Hello,

What is the proper URL for contracts' properties? I am looking at the following URL for Equity Options:

https://developers.lseg.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-financial-contracts-option-contracts-eti

but the property names found in the URL under <Pricing Parameters> are rejected as invalid in the code below:

<volatilityType> is shown in the dictionary but only <volatility_type> works.

What is the correct parameter for <underlyingPriceSide>?

Please see below my code. Thanks. Moti



rd.session.set_default(session)

optDef1=option.Definition(

underlying_type=option.UnderlyingType.ETI,

underlying_definition = option.EtiUnderlyingDefinition("FND.N"),

buy_sell = 'Buy',

call_put = "Call",

instrument_code='FND',

strike= 70,

end_date='2024-01-01',

pricing_parameters=option.PricingParameters(


volatility_type='SVISurface')

)

optDef2=option.Definition(

underlying_type=option.UnderlyingType.ETI,

underlying_definition = option.EtiUnderlyingDefinition("MSFT.O"),

buy_sell = 'Buy',

call_put = "Call",

instrument_code='MSFT.O',

strike= 100,

end_date='2024-01-01',

pricing_parameters=option.PricingParameters(

volatility_type='SVISurface')


)

universe=[optDef1,optDef2]

fields=[


"OptionType",

"InstrumentCode",

"StrikePrice",

"ExerciseType",

"ExerciseStyle",

"BuySell",

"EndDate",


"DividendType",


"ValuationDate",

"MarketValueInDealCcy",

"UnderlyingPrice",

"VolatilityPercent",

"DividendYieldPercent",

"ForecastDividendYieldPercent",

"DeltaPercent",

"GammaPercent",

"ErrorMessage"]

response = rdf.Definitions(universe,fields).get_data()

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raksina.samasiri avatar image   raksina.samasiri

Hi @Moti.Konak ,

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

1 Answer

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wasin.w avatar image
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Hello @Moti.Konak

You can use the Python's help() method to check the option.PricingParameters information on the fly as follows:

help(option.PricingParameters)

Example:

1701420038569.png

Based on the help return above, the volatilityType and underlyingPriceSide parameters information is:

|  underlying_price_side : PriceSide or str, optional
|      The quoted price side of the underlying asset. Optional. the default values are:
|      - ask: if buysell is set to 'buy',
|      - bid: if buysell is set to 'sell',
|      - last: if buysell is not provided.
 ...
|  volatility_type : OptionVolatilityType or str, optional
|      The type of volatility for the option pricing. Optional. the default value is 'implied'.

1701420038569.png (102.0 KiB)
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