Volatility Cube in API Playground

HannaCP

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 attached. Below is the code.

The code is:

{

"universe": [

{

"surfaceTag": "My USD VolCube",

"underlyingType": "Swaption",

"underlyingDefinition": {

"instrumentCode": "USD",

"discountingType": "OisDiscounting",

"indexTenor": "OIS"

},

"surfaceParameters": {

"calculationDate": "2024-03-28",

"shiftPercent": 3,

"includeCapletsVolatility": false,

"xAxis": "Strike",

"yAxis": "Tenor",

"zAxis": "Expiry"

},

"surfaceLayout": {

"format": "NDimensionalArray"

}

}

]

}

Michel B

Hi @HannaCP

The issue should now be fixed, can you try again?

Regards

Michel

HannaCP

Thanks Michel, I will check and confirm with the user