Can we obtain the value of Strike in in API Playground Quantitative Analytics Curves and Surfaces?

HannaCP

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 absolute value of the strike. That is to say, we can currently only obtain the adjustment for strike in percentage form, but we want to obtain the value of strike directly. Is there any way to do this?

ef get_request_body(self, row):
request_body = {
"universe": [{
"surfaceTag": "My " + row['Currency'] + " VolCube", # e.g., "My EUR VolCube",
"underlyingType": "Swaption",
"underlyingDefinition": {
"instrumentCode": row['Currency'], # "EUR",
"discountingType": "OisDiscounting",
"indexTenor": row['Tenor']},
"surfaceParameters": {
"calculationDate": self.calculation_date, # e.g., "2020-04-20",
"shiftPercent": 3,
"includeCapletsVolatility": False,
"xAxis": "Strike",
"yAxis": "Tenor",
"zAxis": "Expiry"
},
"surfaceLayout": {
"format": "NDimensionalArray"
}
}]
}
return request_body

Michel B

Hi,

i advise you to use the 'List' format:

{
    "universe": [
        {
            "surfaceTag": "SwaptionSurface",
            "underlyingType": "Swaption",
            "underlyingDefinition": {
                "instrumentCode": "EUR"
            },
            "surfaceParameters": {
                "calculationDate": "2022-02-16",
                "xAxis": "Strike",
                "yAxis": "Tenor",
                "zAxis": "Expiry"
            },
            "surfaceLayout": {
                "format": "List"
            }
        }
    ],
    "outputs": [
        "Data",
        "DiscountCurve",
        "ForwardCurve",
        "Description"
    ]
}

Which will provide you the absolute strike:

Best,

Michel

HannaCP

Thank you Michel! I'll let the client know!