lseg-api-samples/article.rdplibrary.python.volatilitysurfaces_curves

Create & Plot ETI and FX Volatility Surfaces, Smile Curves, Term Structures, Forward Curves and more using Instrument Pricing Analytics Data and the Refinitiv Data Platform Library

Instrument Pricing Analytics - Volatility Surfaces

In one of my earlier articles on our new Refinitiv Data Platform Library, I briefly covered our Instrument Pricing Analytics (IPA) data content.

As it was meant to be an overview of the RDP Library, I only covered a fraction of the currently available IPA content. I also only highlighted a subset of the types of output that Samuel Schwam (Director, Enterprise Pricing Analytics), demoed during the London Developer Day event.

In the Volatility Surfaces.ipynb Notebook I would like to cover one of these content types - the Volatility Surface offering - in more detail.

July 2020 Webinar - Quickly Build Zero Curves and Volatility Surfaces

The specific Volatility Surfaces and Zero Coupon Curve examples used in the Webinar are provided in the two files:

• Vol Surfaces Webinar.ipynb
• ZC Curves Webinar.ipynb

Link to On-Demand Recording of the Webinar https://solutions.refinitiv.com/LP=13183

You will need to download the credentials.ipynb and plotting_helper.ipynb files as well.

Acknowledgements

Although I modified the code for the plots in this article (to improve their look and format), the starting point was Samuel Schwalm's (Director, Enterprise Pricing Analytics) Surfaces and Curves notebook - for which I thank him.

References

Discover our new Refinitiv Data Platform Library - Part 1 of RDP intro article

API Playground - Interactive Documentation for Refinitiv Data Platform APIs.

RDP EAP library on PyPi - install by executing 'pip install refinitiv-dataplatform' - in your Python environment

Refinitiv Data Platform APIs - our existing REST-based interface to the cloud Platform.

Q&A Forum for the Refinitiv Data Platform Library 

Disclaimer
As this article is based on Beta versions, the method signatures, data formats etc are subject to change.