Upgrade from Eikon -> Workspace. Learn about programming differences.

For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
HannaCP avatar image
6 ●1 ●0 ●2

Can we obtain the value of Strike in in API Playground Quantitative Analytics Curves and Surfaces?

Hi! We have a client raised the question below:


I'd like to pull the swaption vol from eikon. I request the data using this endpoint: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces

I wonder if in "surfaceParameters", "xAxis" can be another keyword instead of "Strike" to get the absolute value of the strike. That is to say, we can currently only obtain the adjustment for strike in percentage form, but we want to obtain the value of strike directly. Is there any way to do this?


ef get_request_body(self, row):
request_body = {
"universe": [{
"surfaceTag": "My " + row['Currency'] + " VolCube", # e.g., "My EUR VolCube",
"underlyingType": "Swaption",
"underlyingDefinition": {
"instrumentCode": row['Currency'], # "EUR",
"discountingType": "OisDiscounting",
"indexTenor": row['Tenor']},
"surfaceParameters": {
"calculationDate": self.calculation_date, # e.g., "2020-04-20",
"shiftPercent": 3,
"includeCapletsVolatility": False,
"xAxis": "Strike",
"yAxis": "Tenor",
"zAxis": "Expiry"
},
"surfaceLayout": {
"format": "NDimensionalArray"
}
}]
}
return request_body

eikon#productapivolatility-surface
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

raksina.samasiri avatar image   raksina.samasiri

Hi @HannaCP ,

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

1 Answer

· Write an Answer
Upvotes
Accepted
Michel B avatar image
301 ●6 ●0 ●1

Hi,

i advise you to use the 'List' format:

{
    "universe": [
        {
            "surfaceTag": "SwaptionSurface",
            "underlyingType": "Swaption",
            "underlyingDefinition": {
                "instrumentCode": "EUR"
            },
            "surfaceParameters": {
                "calculationDate": "2022-02-16",
                "xAxis": "Strike",
                "yAxis": "Tenor",
                "zAxis": "Expiry"
            },
            "surfaceLayout": {
                "format": "List"
            }
        }
    ],
    "outputs": [
        "Data",
        "DiscountCurve",
        "ForwardCurve",
        "Description"
    ]
}

Which will provide you the absolute strike:

1706368901759.png

Best,

Michel


1706368901759.png (23.2 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

HannaCP avatar image HannaCP
Thank you Michel! I'll let the client know!

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.