question

Upvotes
paul.mcallister1 avatar image
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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"      }    }  ] }


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1 Answer

Upvotes
jason.ramchandani01 avatar image
7.6k ●10 ●6 ●8

@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.

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