Overview

Summary

A Surfaces content objects allow you to retrieve Volatility Surface data within a specific session.

Example of usage

import { IPA } from '@refinitiv-data/data';

const session = /* session creation is omitted */;

(async () => {
    try {
        await session.open();

        const definitionCap = IPA.Surfaces.Cap.Definition({
            instrumentCode: 'USD',
            surfaceTag: 'USD_Strike__Tenor_',
            surfaceLayout: {
                format: IPA.Surfaces.Cap.LayoutFormat.Matrix,
            },
            surfaceParameters: {
                valuationDate: '2020-03-20',
                xAxis: IPA.Surfaces.Cap.AxisUnit.Strike,
                yAxis: IPA.Surfaces.Cap.AxisUnit.Tenor,
            },
            // this individual 'outputs' will be ignored if multiple objects are requested
            outputs: [IPA.Surfaces.Cap.Output.Data, IPA.Surfaces.Cap.Output.Description],
        });
        const definitionEti = IPA.Surfaces.Eti.Definition({
            instrumentCode: 'BNPP.PA@RIC',
            surfaceTag: '1',
            surfaceLayout: {
                format: IPA.Surfaces.Eti.LayoutFormat.Matrix,
                yPointCount: 10,
            },
            surfaceParameters: {
                priceSide: IPA.Surfaces.Eti.PriceSide.Mid,
                volatilityModel: IPA.Surfaces.Eti.VolatilityModel.SVI,
                xAxis: IPA.Surfaces.Eti.AxisUnit.Date,
                yAxis: IPA.Surfaces.Eti.AxisUnit.Strike,
            },
        });
        const definitionFx = IPA.Surfaces.Fx.Definition({
            fxCrossCode: 'EURUSD',
            surfaceTag: 'FxVol-EURUSD',
            surfaceLayout: {
                format: IPA.Surfaces.Fx.LayoutFormat.Matrix,
            },
            surfaceParameters: {
                xAxis: IPA.Surfaces.Fx.AxisUnit.Date,
                yAxis: IPA.Surfaces.Fx.AxisUnit.Strike,
                calculationDate: '2018-08-20T00:00:00Z',
                returnAtm: true,
            },
        });
        const definitionSw = IPA.Surfaces.Swaption.Definition({
            instrumentCode: 'EUR',
            surfaceTag: 'My EUR VolCube',
            surfaceLayout: {
                format: IPA.Surfaces.Swaption.LayoutFormat.NDimensionalArray,
            },
            surfaceParameters: {
                xAxis: IPA.Surfaces.Swaption.AxisUnit.Strike,
                yAxis: IPA.Surfaces.Swaption.AxisUnit.Tenor,
                zAxis: IPA.Surfaces.Swaption.AxisUnit.Expiry,
                calculationDate: '2020-04-20',
                shiftPercent: 3,
                includeCapletsVolatility: true,
            },
        });

        // Multiple objects
        const multiVS = IPA.Surfaces.Definition({
            definitions: [definitionCap, definitionEti, definitionFx, definitionSw],
        });
        const multiSurfaceResponse = await multiVS.getData(session);
        console.log('Surfaces multiple data: ', multiSurfaceResponse.data.raw);

        // Multiple objects with outputs
        const multiVSWithOutputs = IPA.Surfaces.Definition({
            definitions: [definitionCap, definitionEti, definitionFx, definitionSw],
            // this outputs will be applied for all the objects
            outputs: [IPA.Surfaces.Output.Headers, IPA.Surfaces.Output.Constituents],
        });
        const multiVSResponseWithOutputs = await multiVSWithOutputs.getData(session);
        console.log("Surfaces multiple with 'outputs' data: ", multiVSResponseWithOutputs.data.raw);
    } catch (err) {
        console.log(err);
    } finally {
        session.close();
    }
})();