How to retrieve Swaption Volatility in Excel API?
Raising the query on an external client's behalf:
Client is seeking assistance on how to pull the Swaption Volatility as seen in this page Home > Fixed Income > Interest Rate Derivatives > Swaptions
Eikon link: http://emea1.apps.cp.thomsonreuters.com/Explorer/GuideDefault.aspx?s=GFI40+AL+3&st=Menu+G+C&context=OV
using Excel API.
He would like to pass in a date and get the time-series of this swaption volatility surface.
You can retrieve this data using
=TR("EURSWPTNS=TTKL","GV4_TEXT;GEN_TEXT16;PRIMACT_1","SKIP:1-2")
Thank you Alex Putkov.
The client also asked if he can extract the time-series (as this looks like it extracts the current snapshot of the vol)?
For timeseries you need to use the RICs for individual swaptions. E.g. to get the timeseries of volatility for a 6M option on a 1Y swap use
=RHistory("EUR6MX1Y=TTKL",".TIMESTAMP;.CLOSE","INTERVAL:1D START:01-SEP-2020 END:15-SEP-2020")
You would need to know RIC and fields carrying the information then you can use =TR function in Excel.
If you do not know the RIC and fields, you can raise a ticket to Refinitiv Content Helpdesk at my.refinitiv.com/
Hi Chavalit,
I appreciate your reply. Here's the RIC that the client would like to get the Swaption Volatility in Excel API / Eikon API - EURSWPTNS=TTKL
Here's the page where the client was referring from "Swaption Volatility"
Hi,
I am running this from python
ek.get_timeseries(
ric_list,
'CLOSE',
start_date=start_date,
end_date=end_date
)
where my list of rics is....
EUR_SWAPTIONS_RIC_LIST = [
"EUR1MX1Y=TTKL", "EUR1MX2Y=TTKL", "EUR1MX3Y=TTKL", "EUR1MX4Y=TTKL", "EUR1MX5Y=TTKL", "EUR1MX7Y=TTKL", "EUR1MX10Y=TTKL",
"EUR6MX1Y=TTKL", "EUR6MX2Y=TTKL", "EUR6MX3Y=TTKL", "EUR6MX4Y=TTKL", "EUR6MX5Y=TTKL", "EUR6MX7Y=TTKL", "EUR6MX10Y=TTKL",
"EUR5YX1Y=TTKL", "EUR5YX2Y=TTKL", "EUR5YX3Y=TTKL", "EUR5YX4Y=TTKL", "EUR5YX5Y=TTKL", "EUR5YX7Y=TTKL", "EUR5YX10Y=TTKL",
"EUR10YX1Y=TTKL", "EUR10YX2Y=TTKL", "EUR10YX3Y=TTKL", "EUR10YX4Y=TTKL", "EUR10YX5Y=TTKL", "EUR10YX7Y=TTKL", "EUR10YX10Y=TTKL",
"EUR20YX1Y=TTKL", "EUR20YX2Y=TTKL", "EUR20YX3Y=TTKL", "EUR20YX4Y=TTKL", "EUR20YX5Y=TTKL", "EUR20YX7Y=TTKL", "EUR20YX10Y=TTKL",
]
and start_date: 1st March, 2020 and end_date: 26th Sept, 2020.
However, I only get data from 6th July, 2020
Can I not retrieve data for a longer look-back?
Thanks,
Sumit
See the answer on this thread. The response to a single get_timeseries call for interday data is limited to 3K rows, which is shared by all instruments in the call.
Hi,
Tried this :-
ek.get_timeseries(
ric_list,
'CLOSE',
start_date='2020-03-01',
end_date='2020-03-11'
)
However, I get "No data available for every single ric in the ric_list.
Any thoughts?
Regards
Sumit
Are you able to reproduce this consistently or was it a once off request failure? Can you give an example of a RIC in your ric_list?
Hi Team,
Thank you for your help. However, for some reasons, I can't find any 'Accept' button.