question

Upvotes
Accepted
mauren.pagsuyuin avatar image
1 ●1 ●0 ●1

IS it safe to use pricing paramenter option: Settle (deprecated) in inputVolatilityType and when will be the deadline for this field?

FOR IPA Volatility Surfaces : ETI

CLient is asking if it safe to use pricing paramenter option:
Settle (deprecated) in inputVolatilityType and when will be the deadline for this field? The data is shown here:
https://developers.refinitiv.com/en/api-catalog/refinitiv-data-platform/refinitiv-data-platform-apis/documentation#ipa-volatility-surfaces-eti

rdp-apirefinitiv-data-platformrefinitiv-data-platform-libraries
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

4 Answers

Upvotes
Accepted
Alex Putkov.1 avatar image
39.3k ●77 ●11 ●27

@mauren.pagsuyuin

I just ran a quick test on API Playground. When I set {"inputVolatilityType": "Settle"} in the surfaceParameters, the response returned an error saying "Invalid input: Unbindable json. Error converting value \"Settle\" to type 'System.Nullable`1[TR.Qps.Models.MarketData.Enums.EVolatilityType]".

As the documentation says and as my test confirms, "Settle" enumerated value has been deprecated for inputVolatilityType parameter and it is no longer possible to use it.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
mauren.pagsuyuin avatar image
1 ●1 ●0 ●1

Hi team, I wish to follow up


icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
mauren.pagsuyuin avatar image
1 ●1 ●0 ●1

@Alex Putkov. THANK YOU! Internal has additional query:

  1. Is there a timeline for the retirement of the usage of ‘Settle’ in the field of ‘inputVolatilityType’?
  2. It was advised that the alternative for ‘inputVolatilityType’ is the 'timestamp'. Is there any documentation or manual for the alternative field ‘timestamp’? Or what is the difference for different values?
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
Alex Putkov.1 avatar image
39.3k ●77 ●11 ●27

@mauren.pagsuyuin

  1. As per my previous response, 'Settle' value is already removed from enumeration for inputVolatilityType parameter. It is no longer possible to use this value. In other words there cannot be a timeline for the retirement of this value because it is already retired.
  2. If you'd like to use settlement values to build volatility surface, you should indeed use pricing parameter named timeStamp and set its value to 'Settle'. This parameter is described in the API documentation you referenced in your original post on this thread.
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

mauren.pagsuyuin avatar image mauren.pagsuyuin

@Alex Putkov. my apologies, I forgot to mention that 'Settle' actually still worked s provided by the internal and also worked no my end.

{

"universe": [

{

"surfaceTag": "1",

"underlyingType": "Eti",

"underlyingDefinition": {

"instrumentCode": "0700.HK@RIC"

},

"surfaceParameters": {

"priceSide": "Mid",

"volatilityModel": "SVI",

"inputVolatilityType": "Settle",

"xAxis": "Date",

"yAxis": "Strike"

},

"surfaceLayout": {

"format": "Matrix",

"yPointCount": 10

}

}

]

}