question

Upvotes
Accepted
3 0 0 1

RDP IPA Volatility Surface: which is the maximum tenor limit ?

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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31.3019837576141,

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11.0937989596972,

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10.9200634086547,

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50.1662616176293,

44.1239500865656,

38.285716592054705,

35.366927804591505,

32.4055175150577,

29.3634951379542,

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22.8440729024669,

21.0857515921645,

19.2755352196045,

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15.705327061394799,

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12.3655108372297,

12.0036279670776,

11.826004888401,

11.7246060927016,

11.618820795738399,

11.568957668912

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42.0968990828401,

36.613133491009805,

33.878411715648,

31.110507884502297,

28.2771066039341,

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19.0437284312824,

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12.3322030874187,

12.221143202707,

12.1023439806665,

12.0439008320309

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40.9296156020881,

35.651021085515296,

33.022890916930095,

30.3670823160126,

27.6545585432147,

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21.9354082503023,

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17.4176287891004,

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12.5977879082917,

12.4802141640476,

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12.288622757213801

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39.935788737608604,

34.8285442425236,

32.289297927098595,

29.7268439846045,

27.1148305914022,

24.425781744789703,

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18.7778515830237,

17.3779614567888,

16.0890939286623,

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13.3719156711303,

12.977045564751899,

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12.6450407822071,

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39.107119389446396,

34.1376065208759,

31.6695994202071,

29.181796454216403,

26.6499419298866,

24.0498827049108,

21.366043868398,

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18.632202532338297,

17.3054558916304,

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14.327621580340699,

13.468733287061799,

13.064773865110398,

12.8484524028778,

12.718234062179501,

12.5739682824979,

12.4993375736527

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43.5417800137434,

38.4697674282522,

33.6015669841225,

31.1857774752883,

28.7525423384,

26.279099886590203,

23.7436551142279,

21.1345987205732,

19.810019131984298,

18.4914863465634,

17.2162876597828,

16.0508204707693,

14.3490925424108,

13.494446364261101,

13.0823497821908,

12.8587437475002,

12.7231030087773,

12.5717103119428,

12.4926628802162

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[

"8M",

42.8536944312281,

37.8731404240985,

33.0953841429153,

30.726033023468503,

28.3411834566443,

25.919366338975603,

23.440821491369302,

20.8973229835843,

19.610279763167,

18.3330836595209,

17.1021095836734,

15.979367411773401,

14.3275039137327,

13.4749683041126,

13.0541992972204,

12.8229731592637,

12.6816680538196,

12.5228485116469,

12.4392282874781

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[

"9M",

42.3012140755446,

37.391405918329404,

32.6833080228559,

30.3495837655235,

28.0017440106812,

25.6192857171847,

23.183967281614702,

20.6900634242298,

19.431285543355102,

18.1850443741586,

16.9868887344161,

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14.27935542729,

13.4271109725948,

12.9985260147556,

12.7605270754926,

12.614188713658,

12.4487758397887,

12.3611125852604

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[

"10M",

41.732749886575995,

36.8931325525566,

32.253847162193,

29.9551802032952,

27.643650301517802,

25.2996820269182,

22.906490956049698,

20.46073023931,

19.2292734819948,

18.0128006693606,

16.8459431896618,

15.7840087144602,

14.200858392855201,

13.347559676158799,

12.9100856195095,

12.664458348117,

12.5124460768846,

12.3395981596366,

12.247386180413699

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"11M",

41.2648184285922,

36.4810093646454,

31.8962046760586,

29.625187941877602,

27.3422132600922,

25.0284204956193,

22.6681486690089,

20.2598688221487,

19.049597042469397,

17.856095317191702,

16.7131992619902,

15.6735981830372,

14.1147816800506,

13.2595884780941,

12.8141302151171,

12.5616928556646,

12.4046058950215,

12.2250991897133,

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36.0500429857398,

31.5199830205214,

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27.0221919317217,

24.7384454294798,

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20.0396585882484,

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17.679308405868,

16.559750696768898,

15.5416715284866,

14.005719675349301,

13.1476043551739,

12.6931847381096,

12.4331256693973,

12.270343438661401,

12.083346986678901,

11.9824858084448

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31.223050340485,

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24.5065569814585,

22.2034896178317,

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12.584696025570999,

12.3182865453131,

12.150742660889401,

11.9574664419898,

11.8527617387039

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[

"14M",

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35.3622147593072,

30.9153137091217,

28.713849503919597,

26.502365672613497,

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21.9850536509683,

19.6691176340903,

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15.3003339565778,

13.796114592773701,

12.931543459839101,

12.4615625345096,

12.1882588251398,

12.0155252739947,

11.8153824784695,

11.7064678989335

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[

"15M",

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35.0262291982015,

30.618337675093898,

28.4364407283989,

26.244987707504,

24.0273371755905,

21.7713112077215,

19.4808966553593,

18.3367125456108,

17.2141592730465,

16.1440824664491,

15.170806144812701,

13.680298830301698,

12.811889649945599,

12.3337770779686,

12.053519816916399,

11.8755273425484,

11.6683990269124,

11.555191477695601

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[

"16M",

39.3083393757034,

34.7410077990842,

30.3655480359862,

28.1998888960517,

26.0250362496902,

23.8247430419257,

21.5874489320026,

19.3180916173484,

18.1856254862891,

17.0755278755394,

16.018032024972502,

15.055959815133098,

13.576341911606901,

12.7043891942313,

12.2191233457455,

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11.7500518526055,

11.5366902301,

11.4196415453619

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[

"17M",

38.9882191962054,

34.4542992195587,

30.1109099163073,

27.9612855891545,

25.8028101177797,

23.619625032002702,

21.400777230947803,

19.1521281245098,

18.0311597418182,

16.933245139262,

15.887993728736799,

14.9367544857557,

13.467503139777401,

12.591775126938002,

12.0991070559242,

11.8062986825598,

11.6187411428204,

11.3988261727322,

11.2777269693821

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[

"18M",

38.6874470278943,

34.1845851736267,

29.8709705207515,

27.7362182300647,

25.5929224612825,

23.425585416081,

21.223816046074003,

18.994319482333,

17.883962878061897,

16.7972585498344,

15.7632212108019,

14.821844760538399,

13.3619156167191,

12.482488731106,

11.9826840099218,

11.6836560388246,

11.4913193097721,

11.264971536244001,

11.139882863149401

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[

"19M",

38.4130083567935,

33.9382630748769,

29.6515813035868,

27.530273605025602,

25.4006960699419,

23.247678064355203,

21.0613366789556,

18.8491294496928,

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16.6717039848358,

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13.2634107714327,

12.3805230636349,

11.874073368309599,

11.5692059561813,

11.3723557898013,

11.139903415508499,

11.0110153899256

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[

"20M",

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33.6824971725246,

29.4235924368955,

27.3161473099783,

25.2007138875532,

23.0624608667812,

20.8920302715938,

18.6976455660077,

17.6066912072509,

16.5404005876642,

15.526659603957699,

14.6030077220929,

13.1596560495709,

12.2731351460325,

11.7596787832838,

11.4485960177386,

11.2469116652842,

11.0078870279921,

10.8748928737568

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[

"21M",

37.8994161550101,

33.4769103189897,

29.240243774838998,

27.1438977126917,

25.0397910535058,

22.913366244594098,

20.7556869608496,

18.5755829301131,

17.492502031993602,

16.434465842459602,

15.4288892661619,

14.5123288481943,

13.0755903380891,

12.1861512211163,

11.6670003075582,

11.3508165608859,

11.1451398926993,

10.9006596569305,

10.7642438820046

],

[

"22M",

37.6661985558292,

33.267328568117,

29.0532935709378,

26.9682464459367,

24.8756750128977,

22.7613027968113,

20.6166244800417,

18.451080773104,

17.3760178234182,

16.326370893523702,

15.329069124622698,

14.419678447662198,

12.989642518769601,

12.097259144622601,

11.5722614163867,

11.2507886179111,

11.040947227574,

10.7907474868809,

10.6507310730179

],

[

"23M",

37.4443498191119,

33.067955782064004,

28.8754499920496,

26.8011572347725,

24.719571321412,

22.6166859716129,

20.484408158095498,

18.3327544208036,

17.2653317397756,

16.223663915269,

15.234212497118799,

14.3316107349122,

12.907954795733001,

12.0128247803012,

11.4822407245835,

11.155660414320499,

10.9417714344689,

10.6859840264521,

10.5424359971528

],

[

"24M",

37.226095002102,

32.8718324228823,

28.700538345736398,

26.6368491242706,

24.5661024821777,

22.4745614495367,

20.354541800104702,

18.2166224239012,

17.1567467570592,

16.1229469555262,

15.1412191807718,

14.2452875601983,

12.8279485902694,

11.9301926938726,

11.394104918006901,

11.0624355381604,

10.8444868589218,

10.5830649824659,

10.4359411579959

]

]

}

]

}

REQUEST

requestData = {
   "universe": [{
      "surfaceTag": "EtiVolatilitySurfaceExample",
      "underlyingType": "Eti",
      "underlyingDefinition": {
         "instrumentCode": ".SXXPESGX"
      },
      "surfaceParameters": {
         "inputVolatilityType": "Implied",
         "volatilityModel": "SSVI",
         "xAxis": "Tenor",
         "yAxis": "Moneyness",
         "priceSide": "Bid"
      },
      "surfaceLayout": {
         "format": "Matrix"}
      }
   ]
};
rdp-apiipavolatility-surface
icon clock
10 |1500

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1 Answer

Upvotes
Accepted
24.6k 86 10 22

Hi @alessandro.bonizzoni1

If the information is not available in the IPA documentation for Vol Surfaces, then it may be quicker to raise a My.Refintiv Content-type ticket for the 'Instrument Pricing Analytics - Refinitiv Data Platform'

The IPA content set requires considerable in-depth knowledge that most of the moderators on this forum do not possess.

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.