LSEG Data Library for TypeScript

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About Surfaces Eti

The Eti module allows requesting and constructing ETI volatility surfaces.

IPA.Surfaces.Eti.Definition object

This object defines the ETI volatility surface parameters to request.

Syntax

Surfaces.Eti.Definition(params: Surfaces.Eti.Params)

Parameters

Value Description Data type Optional Default value
params An object literal of type Surfaces.Eti.Params. object No -

Surfaces.Eti.Params properties:

Value Description Data type Optional Default value
instrumentCode The code used to define the underlying asset. string No -
cleanInstrumentCode The clean instrument code string No -
exchange The exchange to be used to retrieve the underlying data. string Yes -
isFutureUnderlying Specifies whether future is underlying or not boolean Yes -
surfaceLayout The list of properties used to modify the layout of the volatility surface in outputs (See Eti.Layout). enum Yes -
surfaceTag A user-defined string to identify the volatility surface. It can be used to link output results to the requested definition. string Yes -
surfaceParameters The pricing parameters to be applied to the volatility surface (See Eti.CalculationParams). object Yes -
outputs The list of requested output analytics (See Eti.Outputs). enum Yes -
extendedParams Additional parameters to apply to the request. object Yes -

Returned value

ContentDefinition object.

Usage

The following example demonstrates how to create a definition for ETI volatility surface with 'BNPP.PA@RIC' instrumentCode:

import { IPA } from '@lsegroup/data';

const definition = IPA.Surfaces.Eti.Definition({
    instrumentCode: 'BNPP.PA@RIC',
});

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