How to retrieve Swaption Volatility in Excel API?

romerson.gadil

Raising the query on an external client's behalf:

Client is seeking assistance on how to pull the Swaption Volatility as seen in this page Home > Fixed Income > Interest Rate Derivatives > Swaptions
Eikon link: http://emea1.apps.cp.thomsonreuters.com/Explorer/GuideDefault.aspx?s=GFI40+AL+3&st=Menu+G+C&context=OV

using Excel API.

He would like to pass in a date and get the time-series of this swaption volatility surface.

Alex Putkov.1

@romerson.gadil21

You can retrieve this data using

=TR("EURSWPTNS=TTKL","GV4_TEXT;GEN_TEXT16;PRIMACT_1","SKIP:1-2")

chavalit-jintamalit

Hi @romerson.gadil21

You would need to know RIC and fields carrying the information then you can use =TR function in Excel.

If you do not know the RIC and fields, you can raise a ticket to Refinitiv Content Helpdesk at my.refinitiv.com/

romerson.gadil

Hi Chavalit,

I appreciate your reply. Here's the RIC that the client would like to get the Swaption Volatility in Excel API / Eikon API - EURSWPTNS=TTKL

Here's the page where the client was referring from "Swaption Volatility"

http://emea1.apps.cp.thomsonreuters.com/Explorer/GuideDefault.aspx?s=GFI40+AL+3&st=Menu+G+C&context=OV

romerson.gadil

Thank you Alex Putkov.

The client also asked if he can extract the time-series (as this looks like it extracts the current snapshot of the vol)?

Alex Putkov.1

For timeseries you need to use the RICs for individual swaptions. E.g. to get the timeseries of volatility for a 6M option on a 1Y swap use

=RHistory("EUR6MX1Y=TTKL",".TIMESTAMP;.CLOSE","INTERVAL:1D START:01-SEP-2020 END:15-SEP-2020")

sumit

Hi,

I am running this from python

ek.get_timeseries(
    ric_list,
    'CLOSE',
    start_date=start_date,
    end_date=end_date
)

where my list of rics is....

EUR_SWAPTIONS_RIC_LIST = [
    "EUR1MX1Y=TTKL", "EUR1MX2Y=TTKL", "EUR1MX3Y=TTKL", "EUR1MX4Y=TTKL", "EUR1MX5Y=TTKL", "EUR1MX7Y=TTKL", "EUR1MX10Y=TTKL",
    "EUR6MX1Y=TTKL", "EUR6MX2Y=TTKL", "EUR6MX3Y=TTKL", "EUR6MX4Y=TTKL", "EUR6MX5Y=TTKL", "EUR6MX7Y=TTKL", "EUR6MX10Y=TTKL",
    "EUR5YX1Y=TTKL", "EUR5YX2Y=TTKL", "EUR5YX3Y=TTKL", "EUR5YX4Y=TTKL", "EUR5YX5Y=TTKL", "EUR5YX7Y=TTKL", "EUR5YX10Y=TTKL",
    "EUR10YX1Y=TTKL", "EUR10YX2Y=TTKL", "EUR10YX3Y=TTKL", "EUR10YX4Y=TTKL", "EUR10YX5Y=TTKL", "EUR10YX7Y=TTKL", "EUR10YX10Y=TTKL",
    "EUR20YX1Y=TTKL", "EUR20YX2Y=TTKL", "EUR20YX3Y=TTKL", "EUR20YX4Y=TTKL", "EUR20YX5Y=TTKL", "EUR20YX7Y=TTKL", "EUR20YX10Y=TTKL",
]

and start_date: 1st March, 2020 and end_date: 26th Sept, 2020.

However, I only get data from 6th July, 2020

Can I not retrieve data for a longer look-back?

Thanks,

Sumit

Alex Putkov.1

See the answer on this thread. The response to a single get_timeseries call for interday data is limited to 3K rows, which is shared by all instruments in the call.

sumit

Thanks a lot!!

sumit

Hi,
  Tried this :-
ek.get_timeseries(
    ric_list,
    'CLOSE',
    start_date='2020-03-01',
    end_date='2020-03-11'
)

However, I get "No data available for every single ric in the ric_list.

Any thoughts?

Regards

Sumit

Alex Putkov.1

Are you able to reproduce this consistently or was it a once off request failure? Can you give an example of a RIC in your ric_list?

romerson.gadil

Hi Team,

Thank you for your help. However, for some reasons, I can't find any 'Accept' button.