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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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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'.

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