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YERAY SOSA ALONSO avatar image
19 ●13 ●14 ●14

Cap Volatility response has changed

Hi, I have realized that the response when requesting caplet volatility surfaces with https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces endpoint has changed. Previously, there was a "description" field when you could find information such as "valuationDate", "currency", "referenceCapletTenor", "discountingTenor" and "volatilityType".

Please, I would like to know if it is possible to indicate something in the body request to get those values as well as the volatility points. P.S., my request body is based on the API playground example.

Thanks.

apirefinitiv-data-platformc#refinitiv-data-platform-libraries
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wasin.w avatar image   wasin.w

Hello @YERAY SOSA ALONSO

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS


wasin.w avatar image   wasin.w

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,


AHS


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Mark.Klimushkin avatar image
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Hi @YERAY SOSA ALONSO ,

Adding "outputs" section to the request should give you desired results. Here is request based on the example from API Playground:

{
  "universe": [
    {
      "surfaceTag": "USD_Strike__Tenor_",
      "underlyingType": "Cap",
      "underlyingDefinition": {
        "instrumentCode": "USD",
        "referenceCapletTenor": "3M",
        "discountingType": "OisDiscounting"
      },
      "surfaceLayout": {
        "Format": "Matrix"
      },
      "surfaceParameters": {
        "calculationDate": "2020-03-20",
        "xAxis": "Strike",
        "yAxis": "Tenor"
      }
    }
  ],
  "outputs": [
    "Headers",
    "Data",
    "Description"
  ]
}

Please let me know if you have any other questions.


Thanks,

Mark

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