Volatility surfaces for japanese equities?
Hello,
Does the API support creating volatility surfaces for instruments on the tokyo stock exchange, such as: 4503.T
This ric has an option chain ric, 0#4503*.OS, so it seems like the creation of a volatility surface should be possible. However, the below API request fails.
API endpoint: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces
Request body:
{
"universe": [
{
"surfaceTag": "1",
"underlyingType": "Eti",
"underlyingDefinition": {
"instrumentCode": "4503.T@RIC"
},
"surfaceParameters": {
"priceSide": "Mid",
"volatilityModel": "SVI",
"xAxis": "Date",
"yAxis": "Strike"
},
"surfaceLayout": {
"format": "Matrix",
"yPointCount": 10
}
}
]
}
Response:
{ "data": [ { "surfaceTag": "1", "error": { "id": "856e68a5-6168-486d-9f53-adbb0de1731f/c7a3c5ab-672d-4ac7-830b-4e1b46d0016c", "status": "Error", "message": "The service failed to build the volatility surface", "code": "VolSurf.10300" } } ] }
@paul.mcallister1 I can replicate the issue - I think it will need to be looked into by the product team as it should be able to provide surfaces for Japanese stocks. I will speak to the product owner and get back to you. I did try it with VOD.L and TSLA.O and it works with those. I will contact them and revert. Please bear with us.