Retrieve current historic volatility surface

Hi,

I am wondering what the most elegant way to retrieve a full surface through the Python API is. For example LCOSURF3 contains a lot of RICs like LCO100N1MO=R for which historic as well as live values can be retrieved. Is there another way except pulling the data RIC by RIC?

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Accepted answers

Zhenya Kovalyov

I can not see any elegant ways to achieve this, moreover, the api does not consider a chain of instruments without 0# as a series, so you will have to extract RICs first with something like this:

import pandas as pd
import eikon as tr

tr.set_app_id('your_app_id')

fields = ['LONGLINK' + str(i) for i in range(1, 14)] + ['LONGNEXTLR']

def expand_chain(ric, fields, data):
    df, e = tr.get_data([ric], fields)
    data = data + list(df.iloc[0])[1:-1]
    nextlr = df['LONGNEXTLR'][0]


    if (pd.isnull(nextlr)):
        return data
    else:
        return expand_chain(nextlr, fields, data)

rics = expand_chain('LCOSURF3', fields, [])[1:-1]

after this you can get the time series for each RIC.

All comments

Zhenya Kovalyov

I can not see any elegant ways to achieve this, moreover, the api does not consider a chain of instruments without 0# as a series, so you will have to extract RICs first with something like this:

import pandas as pd
import eikon as tr

tr.set_app_id('your_app_id')

fields = ['LONGLINK' + str(i) for i in range(1, 14)] + ['LONGNEXTLR']

def expand_chain(ric, fields, data):
    df, e = tr.get_data([ric], fields)
    data = data + list(df.iloc[0])[1:-1]
    nextlr = df['LONGNEXTLR'][0]


    if (pd.isnull(nextlr)):
        return data
    else:
        return expand_chain(nextlr, fields, data)

rics = expand_chain('LCOSURF3', fields, [])[1:-1]

after this you can get the time series for each RIC.

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