derivitec.core.client.DerivitecClient.upload_equity_vol_surfaces

DerivitecClient.upload_equity_vol_surfaces(vol_surfaces, market_data_environment_name=None)[source]

Upload equity vol surfaces.

Parameters:

  • vol_surfaces (list of derivitec.market_data.EquityVolSurface) – The equity vol surfaces

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

Return type:

derivitec.market_data.response.ApiBaseResponse

Code

>>> import datetime
>>> vol_surface = EquityVolSurfaceSvi(
...     asset_name=ric("MSFT.OQ"),
...     reference_date=datetime.datetime(2017, 10, 13),
...     benchmark_maturities=[365, 365 * 5],
...     benchmark_fwd_factors=[1.0, 1.0],
...     vols=[0.5, 0.7],
...     smiles=[0.0, 0.0],
...     skews=[0.0, 0.0],
...     call_wings=[0.0, 0.0],
...     put_wings=[0.0, 0.0],
...     strike_type=EquityVolSurface.StrikeType.Logarithmic,
...     spot_ref=100)
>>> vol_surfaces = [vol_surface]
>>> market_data_environment_name = "Example Market Data Environment"
>>> client.upload_equity_vol_surface(vol_surfacse)