Surfaces.Eti.CalculationParams
CalculationParams represents the pricing parameters to be applied to the volatility surface.
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| xAxis | The enumerate that specifies the unit for the 'x' axis (See Eti.AxisUnit). | enum | No | - |
| yAxis | The enumerate that specifies the unit for the 'y' axis (See Eti.AxisUnit). | enum | No | - |
| inputVolatilityType | The type of volatility used for calibration (See Eti.InputVolatilityType). | enum | Yes | - |
| calculationDate | The date at which the volatility surface is constructed. The value is expressed in ISO 8601 format. | string | Yes | - |
| filters | The parameters of options that should be used to construct the volatility surface (See Eti.SurfaceFilters below). | object | Yes | - |
| moneynessType | The enumerate that specifies how moneyness is computed for the calibration (See Eti.MoneynessType below). | enum | Yes | - |
| priceSide | The quoted price side of options used to construct the surface (See Eti.PriceSide). | enum | Yes | - |
| timeStamp | The mode of selecting the timestamp of options used to construct the surface (See Eti.TimeStampSelectionType). | enum | Yes | - |
| volatilityModel | The model used to build the surface (See Eti.VolatilityModel below). | enum | Yes | - |
| weights | The list of calibration weights that should be applied to different moneyness ranges (See Eti.MoneynessWeight below). | object[] | Yes | - |
Surfaces.Eti.SurfaceFilters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| atmToleranceIntervalPercent | The width of the at-the-money interval. The value is expressed in percentages. | number | Yes | - |
| ensurePricesMonotonicity | The indicator of whether the filter on the monotonicity of price options is used to construct the surface. | boolean | Yes | - |
| maturityFilterRange | The object allows to specify the range of expiry periods of options that are used to construct the surface (See Eti.MaturityFilter below). | object | Yes | - |
| strikeRangePercent | The range allows to exclude strike levels that have implied volatilities which exceed upper bound or below lower bound (See Eti.StrikeFilter below). | string | Yes | - |
| useOnlyCalls | The indicator of whether only call options should be used to construct the surface. | boolean | Yes | - |
| useOnlyPuts | The indicator of whether only put options should be used to construct the surface. | boolean | Yes | - |
| useWeeklyOptions | The indicator of whether the filter on the weekly options is used to construct the surface. | boolean | Yes | - |
Surfaces.Eti.MoneynessType
| Name | Value |
|---|---|
| MoneynessType.Spot | 'Spot' |
| MoneynessType.Fwd | 'Fwd' |
| MoneynessType.Sigma | 'Sigma' |
Surfaces.Eti.VolatilityModel
| Name | Value |
|---|---|
| VolatilityModel.SVI | 'SVI' |
| VolatilityModel.SSVI | 'SSVI' |
Surfaces.Eti.StrikeFilter
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| maxOfMedianImpliedVol | The value can be used to exclude strikes with implied volatilities larger than upper bound. | number | No | - |
| minOfMedianImpliedVol | The value can be used to exclude strikes with implied volatilities less than lower bound. | number | No | - |
Surfaces.Eti.MoneynessWeight
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| maxMoneyness | The upper bound of the moneyness range of options to which the specified weight should be applied for surface construction. | number | No | - |
| minMoneyness | The lower bound of the moneyness range of options to which the specified weight should be applied for surface construction. | number | No | - |
| weight | The weight which should be applied to the options in the specified range of the moneyness (See Eti.MaturityFilter below). | object | No | - |
Surfaces.Eti.MaturityFilter
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| maxMaturity | The period code used to set the maximal maturity of options used to construct the surface (e.g., '1M', '1Y'). | string | Yes | - |
| minMaturity | The period code used to set the minimal maturity of options used to construct the surface (e.g., '1M', '1Y'). | string | Yes | - |
| minOfMedianNbOfStrikesPercent | The value is used to set the minimum number of strikes that should be available for maturities that are used to construct the surface. | number | Yes | - |