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How can I retrieve in Excel historical swaption volatility surfaces?
I need to get swaption volatility surfaces for a time lenght of at least 8/9 years. I have 14 different exercise dates and 14 different tenors. It is for my master thesis. I looked up at the Q&A and I tried to insert them with RHistory function: =RHistory("EUR3MX1Y=TTKL; EUR3MX2Y=TTKL; EUR3MX3Y=TTKL; EUR3MX4Y=TTKL;…
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Volatility Cube in API Playground
output volcube1.txt I’m using the api “https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces” The data downloaded from the api for vol cube seems different from Eikon app. eg. the USD vol is constant. EUR IBOR and ESTR vol cubes are the same. Is there something wrong with the output? Output…
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Can we obtain the value of Strike in in API Playground Quantitative Analytics Curves and Surfaces?
Hi! We have a client raised the question below: I'd like to pull the swaption vol from eikon. I request the data using this endpoint: https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces I wonder if in "surfaceParameters", "xAxis" can be another keyword instead of "Strike" to get the…
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Historical volatility surface or option data
Hello, I am looking for a way to retrieve, via either Eikon API or Refinitiv Data Library for Python, the historical volatility surface (ie at any given date, a matrix of IV with option strikes along cloumns and option tenors along rows) of options on both equity indices and individual stocks. Alternatively, it would…
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How can I get historical Volatility surface?
I want to get historical volatility surface data for KOSPI200 options. I found above data with 'KS200VOLSURF' but I just can check real-time data. I want historical volatility surface data like above format(for example, 1year daily data each have above format).
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Where to find Real Time Volatility Surfaces for Commodities using Eikon's Python API?
Hi everyone, On their website Refinitv states that, it is possible to get real time volatility surfaces for sixty commodity products using Eikon. 1. Where can I find which 60 commodity products are meant? 2. And how can I get that data using Eikon's Python API? Thanks!
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Volatility surface build failed
Hi everyone, I'm using the curves-and-surfaces endpoint to get some FX volatility surfaces. Most of the time it works fine but for some currencies pairs it fails (ex: EURXAG). Do you have a solution? Thank you for your help Regards
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Calculate Caplets volatility surface using RDP Surfaces IPA with user inputs
dear developer community i have a question regarding the use of RDP Surfaces IPA (https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces). indeed, the IPA accpet as parameter to specify a source, i'm wondering if rather than indicating a contributor source if it's possible to specify as input…
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TR.Surfvolmoneyness - cannot calculate
Hi, i'm trying to retrieve volatility surfaces for equity underlyings using Eikon api in python on Windows. In the majority of cases i am successful but there are some rics where i can see the data in SURF app on Eikon but the code is unable to return the values. For example: # Input…
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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",…
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Efficient Way to Get Historical ATM Implied Volatility
I'm trying to find an efficient way to download the Historical ATM Implied Volatility using python. Currently, I use the following code to get the historical volatility for some options: vol_df = rd.get_history(universe=option_ric, fields=["IMP_VOLT], interval="1D", start=start_date_2, end=end_date_2) But I realized when I…
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pull iv delta according to delta of specific expiry.
I am working on trying to pull via api a certain value with no success. It seems to be possible and I hope you can help. I am trying to pull the 25 delta IV value for specific options. meaning I want get the value under the number 25 on both sides of the table (put & call) 8for a specific expiry for example in the attached…
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I have a client trying to use Refinitiv API to get surface of volatility and gets this error: {'c...
...ode': 500, 'message': 'self signed certificate in certificate chain', 'statusMessage': 'Internal Server Error'} Client is using this sample code: using this sample code: https://github.com/Refinitiv-API-Samples/Example.RDPLibrary.Python/blob/master/3.1.0 - Delivery - EndPoint-QuantitativAnalytics-FinancialContracts.ipynb
