Retrieve swaption volcube

TZhang14

Hi, team,

Wondering if there is a way to retrieve swaption volcube, for example, USD1YSML=R.

Thanks

chavalit-jintamalit

Hi@"TZhang14
"

First, you have to collect all of underlying instrument codes.

This is an example to get the first 14 underlying codes (from LONGLINK1 to LONGLINK14 fields)

(I skipped some of the fields but you can get the idea)

You can pass in "LONGNEXTLR" value as instrument code to get the next available underlying instrument codes.

I won't show the code here but you will have the following:

USD1YSML=R

1#USD1YSML=R

2#USD1YSML=R

...

...

9#USD1YSML=R

A#USD1YSML=R

So, you will have all the underlying instrument codes.

Next, you can pass in this list of instrument codes to get the data.

Hope this help.

TZhang14

Thanks a lot.