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jacopo.rennenkampff avatar image
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How can I retrieve in Excel historical swaption volatility surfaces?

I need to get swaption volatility surfaces for a time lenght of at least 8/9 years. I have 14 different exercise dates and 14 different tenors. It is for my master thesis.

I looked up at the Q&A and I tried to insert them with RHistory function:

=RHistory("EUR3MX1Y=TTKL; EUR3MX2Y=TTKL; EUR3MX3Y=TTKL; EUR3MX4Y=TTKL; EUR3MX5Y=TTKL; EUR3MX6Y=TTKL; EUR3MX7Y=TTKL; EUR3MX8Y=TTKL; EUR3MX9Y=TTKL; EUR3MX10Y=TTKL"; ".TIMESTAMP;.CLOSE";"INTERVAL:1W START:24-AUG-2016 END:07-MAY-2024")


Unfortunately it's not working as I expect it. Values are scaled up in Excel. How can I solve this problem and get a 14x14 matrix? Is there a way to plot in one formula all the datasets without have them written one by one as I did?

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aramyan.h avatar image
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Hi @jacopo.rennenkampff ,

This forum is dedicated to API related questions. For Excel and/or content related questions, please raise a query via Helpdesk either from Help&Support section on Workspace or via my.refinitiv.com.

Best regards,

Haykaz

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