Hi all,
I'm sending a request to get RDP IPA volatility surface matrix in the way below and I get tenors until 2Y maximum. Is this the limit or is it possible to extend it until 10Y as requested by our customer ?
Many thanks and best regards
Alessandro
RESPONSE
{
"data": [
{
"surfaceTag": "EtiVolatilitySurfaceExample",
"surface": [
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[
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[
"24M",
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32.8718324228823,
28.700538345736398,
26.6368491242706,
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22.4745614495367,
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]
]
}
]
}
REQUEST
requestData = {
"universe": [{
"surfaceTag": "EtiVolatilitySurfaceExample",
"underlyingType": "Eti",
"underlyingDefinition": {
"instrumentCode": ".SXXPESGX"
},
"surfaceParameters": {
"inputVolatilityType": "Implied",
"volatilityModel": "SSVI",
"xAxis": "Tenor",
"yAxis": "Moneyness",
"priceSide": "Bid"
},
"surfaceLayout": {
"format": "Matrix"}
}
]
};
