RDP IPA FX Volatility

aya.nakamura3
aya.nakamura3
in Refinitiv Data Platform

I am trying to plot fx vol surf using the file I found on Git Hub in below link.

https://github.com/Refinitiv-API-Samples/Article.RDPLibrary.Python.VolatilitySurfaces_Curves

File name "Vol Surfaces Webinar.ipynb". It worked for ETI option but for FX Volatility Surface, it returned error. Vol Surfaces Webinar.zip

--------------------------------------------------------

fx_surfaces = fx_response.data.raw['data']

plot_surface(fx_surfaces, 'FxVol-USDSGD', True)

--------------------------------------------------------

TypeError                                 Traceback (most recent call last)
<ipython-input-23-1b085c0e4326> in <module>
      1 fx_surfaces = fx_response.data.raw['data']
----> 2 plot_surface(fx_surfaces, 'FxVol-USDSGD', True)

<ipython-input-5-0e89ac2f0bf9> in plot_surface(surfaces, surfaceTag, delta_plot)
     26         # When plotting FX Delta rather than Strike
     27         # I'm converting the x axis value from Delta to Put Delta
---> 28         delta_axis = list(map(convert_delta, strike_axis))
     29         x = np.array(delta_axis, dtype=float)
     30     else:

<ipython-input-5-10b94499ab72> in convert_delta(delta)
      1 def convert_delta(delta):
----> 2     if (delta<0):
      3         return -delta
      4     elif (delta>0):
      5         return 1-delta 
TypeError: '<' not supported between instances of 'str' and 'int'


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Best Answer

  • umer.nalla
    umer.nalla
    Answer ✓

    Hi @aya.nakamura3

    The problem seems to be that for FX, the strike_axis values now contain an at the money text value:

    [-0.1, -0.15, -0.2, -0.25, -0.3, -0.35, -0.4, -0.45, 'ATM', 0.45, 0.4, 0.35, 0.3, 0.25, 0.2, 0.15, 0.1]

    So, it would appear there has been a change to the Vol Surfaces response since when I presented the Webinar and the notebooks.

    I am not 100% sure but I think the following should fix this:

    def convert_delta(delta):

        if (delta=='ATM'):
            return 0.5
        elif (delta<0):
            return -delta
        elif (delta>0):
            return 1-delta
        else:
            return 0.5

    I have asked the IPA team to confirm if the above is correct and if there could be other text values I need to consider.

    I will update the notebook on Github once they have confirmed the corrections.

Answers

  • umer.nalla
    umer.nalla

    Hi @aya.nakamura3

    The IPA team advised a different solution, they suggested I change the original request to something like:

    "universe": [
            {
                  "underlyingType": "Fx",
                  "surfaceTag": "FxVol-USDSGD",
                  "underlyingDefinition": {
                    "fxCrossCode": "USDSGD"
                  },
                  "surfaceLayout": {
                    "format": "Matrix",
                    "yValues": [ "-0.1","-0.15","-0.2","-0.25","-0.3","-0.35","-0.4","-0.45","0.5","0.45","0.4","0.35","0.3","0.25","0.2","0.15","0.1"]
                  },
                  "surfaceParameters": {
                    "xAxis": "Date",
                    "yAxis": "Delta",
                    "calculationDate": "2018-08-20T00:00:00Z",
                    "returnAtm": "False",
                  }
            }
        ]

    The changes above would avoid having to change the convert_delta() function.

    I am holding off updating the Github file for now - as there is another issue in the notebook I have spotted (not related to the above Vol Surface)


  • aya.nakamura3
    aya.nakamura3

    @umer.nalla Thank you very much! It worked!

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