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Volatility Cube in API Playground

output volcube1.txt

I’m using the api “https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces

The data downloaded from the api for vol cube seems different from Eikon app. eg. the USD vol is constant. EUR IBOR and ESTR vol cubes are the same. Is there something wrong with the output? Output attached. Below is the code.

1715870018618.png

The code is:

{

"universe": [

{

"surfaceTag": "My USD VolCube",

"underlyingType": "Swaption",

"underlyingDefinition": {

"instrumentCode": "USD",

"discountingType": "OisDiscounting",

"indexTenor": "OIS"

},

"surfaceParameters": {

"calculationDate": "2024-03-28",

"shiftPercent": 3,

"includeCapletsVolatility": false,

"xAxis": "Strike",

"yAxis": "Tenor",

"zAxis": "Expiry"

},

"surfaceLayout": {

"format": "NDimensionalArray"

}

}

]

}



api#contentvolatilityvolatility-surface
1715870018618.png (25.8 KiB)
output-volcube1.txt (14.1 KiB)
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Hi @HannaCP

The issue should now be fixed, can you try again?

Regards

Michel

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Thanks Michel, I will check and confirm with the user

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