Retrieving previous day's volatility surface via IPA

Lei.Wu

Hi Team,

I ask this question on behalf of an existing client of IPA in Hong Kong, who asked some questions described as below.

As we are developing some fallback mechanisms in case of no data returned, would like to know when would we be able to access previous day end data for US indices (say, .SPX)?

May I also confirm that we can retrieve previous day end data using the field “marketDataDate”, and it also has to align with “valuationDate”, like below? And which time zone should I use for the date?

{

"universe": [

{

"underlyingType": "Eti",

"underlyingDefinition": {

"instrumentCode": ".SPX"

},

"surfaceParameters": {

"marketDataDate": "2020-06-23",

"valuationDate": "2020-06-23"

}

}

]

}

So could you advise on above questions?

Thanks,

Leo

samuel.schwalm

Hello Leo,

I recommend using "calculationDate" in the "SurfaceParameter" object. Please see documentation at https://developers.refinitiv.com/refinitiv-data-platform/refinitiv-data-platform-apis/docs?content=65116&type=documentation_item

"marketDataDate" and "valuationDate were initially used but apply rather to instruments, hence the preference for "calculationDate" in the context of surfaces and curves

Best regards

Samuel

Lei.Wu

Thanks, Samuel!

And for the timezone, the client is sitting in HongKong, and they would like to retrieve the vol surf of previous day. To do this, how to configure the timezone for them?

Thanks,

Leo

Lei.Wu

The client wants to retrieve the vol surf for US markets.