Hi, I sent this email to the support desk and they sent me here to ask the question.
I am pulling volatility surface data from lseg.data api by doing so :
def_get_vol_surface( ul_ric: str,):
vol_surface=surfaces.eti.Definition(
surface_tag="Vol",
underlying_definition=surfaces.eti.EtiSurfaceDefinition(
instrument_code=f"{ul_ric}@RICROOT"@RICROOT" , is_future_underlying=True
),
surface_parameters=surfaces.eti.EtiCalculationParams(
x_axis=surfaces.eti.Axis.DATE,
y_axis=surfaces.eti.Axis.STRIKE,
calculation_date="2026-03-03T00:00:00Z",
),
surface_layout=surfaces.eti.SurfaceLayout(
format=surfaces.eti.Format.MATRIX,
),
).get_data()
returnvol_surface
My first question is : is there a way to find a list or dictionary of all rics this works for ? I based my current list off of CEVOLSURF Q, by taking the column circled in red in the picture.
However, it does not work for all instances of this column, and all products I am looking for are not covered in this list. This question is the least important one of both.
The more important one is about getting the option prices that these volatilities are gathered from. Is it possible to get a dataframe similar to the one provided by vol_surface.data.df but containing the option prices instead of their implied volatilites ? I am looking for this to calibrate a SABR model and while I can calibrate it only using the volatilities, getting the option prices would help me show results to my traders for them to implement the pricer.
Thank you for your help and have a nice day.
