Hi @mami.kimura ,

1) This Jupyter notebook is just an example and expected to work properly only with the pre-defined requests there. When some x/yAxis type is changed from the "Date" to "Tenor", it changes output format significantly (Dates vs Strings/Float numbers), what results in the provided error.

If you plan to change or add your own requests in the provided example, you may also need to update existing Python code accordingly or create a separate script/notebook for this purpose.

2) There are additional parameters that can be specified in the API request under "surfaceParameters" section:

            "surfaceParameters": {
                "volatilityModel": "SVI",
                "priceSide":"Mid",
                "deltaConvention": "Spot",
                ....
            }

- When I set these parameters to the same values as selected in FXVE (usually they are the same as provided above) and when I change Delta Convention from "Regular" to "Prem-Adj" in FXVE for USDJPY, I get the same values as in API response.

- API doesn't provide an ability to select Regular or Prem-Adj yet.

Hi @mami.kimura ,

Thanks for your question. You can use below request to get Call/Put Delta values in the output similarly to what's displayed in Eikon FXVE.

- "Date" axis has been replaced with "Tenor" value.

- "returnAtm": true has been added to the request to display "ATM" values.

- xAxis and yAxis can be swapped with each other to get output in different formats if necessary.

- Delta values below 0 in the input return Put Delta values in the output. Delta values above 0 in the input return Call Delta values in the output.

Let me know if you have any other questions.

Request:

{
    "universe": [
        {
            "underlyingType": "Fx",
            "surfaceTag": "FxVol",
            "underlyingDefinition": {
                "fxCrossCode": "USDJPY"
            },
            "surfaceLayout": {
                "format": "Matrix",
                "xValues": [
                    
                    "-0.1",
                    "-0.15",
                    "-0.2",
                    "-0.25",
                    "-0.3",
                    "-0.35",
                    "-0.4",
                    "-0.45",
                    "0.45",
                    "0.4",
                    "0.35",
                    "0.3",
                    "0.25",
                    "0.2",
                    "0.15",
                    "0.1"
                ]
            },
            "surfaceParameters": {
                "xAxis": "Delta",
                "yAxis": "Tenor",
                "calculationDate": "2021-09-08T00:00:00Z",
                "returnAtm": true
            }
        }
    ]
}