derivitec.core.client.DerivitecClient.get_vol

DerivitecClient.get_vol(surface, maturity, strikes, strike_type)

Get vol from a volatility surface at a fixed maturity for a set of strikes. This can be called with any SVI surface i.e. EquityVolSurface, CmdtyVolSurface and FxVolSurface.

Parameters:

• surface (derivitec.market_data.types.VolatilitySurfaceSvi)

• maturity (int) – The maturity.

• strikes (list of float)

• strike_type (derivitec.market_data.types.VolatilitySurfaceSvi.StrikeType) – The strike type.

Return type:

list of float

Code Query for ATM 30 day maturity vol

>>> commodity_id = CommodityId(Name="Aluminium", Exchange="LME")
>>> commodity_ids = [commodity_id]
>>> market_dates = [datetime(2017, 10, 2)]
>>> cmdty_vol_surfaces = client.get_cmdty_vol_surfaces(commodity_ids, market_dates)
>>> client.get_vol(cmdty_vol_surfaces[0], 30, [0], StrikeType.Logarithmic)