derivitec.core.client.DerivitecClient.get_fx_vol_surfaces

DerivitecClient.get_fx_vol_surfaces(fx_pairs, market_dates, provider_id=None, market_data_environment_name=None)[source]

Get FX vol surfaces.

Parameters:

  • fx_pairs (list of str) – The FX pairs.

  • market_dates (list of datetime.datetime) – The market dates.

  • provider_id (str) – The provider id (optional)

  • market_data_environment_name (str) – The market data environment name (optional with default Organisation Level Environment)

Return type:

list of dervitec.market_data.types.FxVolSurface

Code

>>> date_list = (datetime(2017, 5, 31), datetime(2017, 5, 30))
>>> market_data_environment_name = "Example Market Data Environment"
>>> fx_vol_surfaces = client.get_fx_vol_surfaces(["GBPUSD"], date_list, market_data_environment_name)