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YERAY SOSA ALONSO avatar image
17 ●3 ●5 ●9

Cap Volatility response has changed

Hi, I have realized that the response when requesting caplet volatility surfaces with https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces endpoint has changed. Previously, there was a "description" field when you could find information such as "valuationDate", "currency", "referenceCapletTenor", "discountingTenor" and "volatilityType".

Please, I would like to know if it is possible to indicate something in the body request to get those values as well as the volatility points. P.S., my request body is based on the API playground example.

Thanks.

apirefinitiv-data-platformc#refinitiv-data-platform-libraries
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1 Answer

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Mark.Klimushkin avatar image
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Hi @YERAY SOSA ALONSO ,

Adding "outputs" section to the request should give you desired results. Here is request based on the example from API Playground:

{
  "universe": [
    {
      "surfaceTag": "USD_Strike__Tenor_",
      "underlyingType": "Cap",
      "underlyingDefinition": {
        "instrumentCode": "USD",
        "referenceCapletTenor": "3M",
        "discountingType": "OisDiscounting"
      },
      "surfaceLayout": {
        "Format": "Matrix"
      },
      "surfaceParameters": {
        "calculationDate": "2020-03-20",
        "xAxis": "Strike",
        "yAxis": "Tenor"
      }
    }
  ],
  "outputs": [
    "Headers",
    "Data",
    "Description"
  ]
}

Please let me know if you have any other questions.


Thanks,

Mark

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