How to get long history of vol surfaces

Question

Posting this for a client.

I’m able to get vol surfaces for what’s currently live, but not for historic surfaces (ie expired options).  I’d be keen to a long history of vol surfaces and see how well it does at pricing list vol options for a longer history

For example:  TY@RICROOT with xAxis=Date, yAxis=Delta, if I try and grab vol surfaces prior to expiry for example, expiry=["2026-06-26"] works , but expiry=["2025-06-20"] fails.I get the same results for FGBL@RICROOT and CL@RICROOT for example

Jirapongse · Answer

@JEReyes

Yes, it is the same endpoint used in this Instrument Pricing Analytics - Volatility Surfaces and Curves article.

You can refer to this document for other parameters.

Otherwise, please contact the Instrument Pricing Analytics - Delivery Platform support team directly via LSEG Support to verify the request message used by the client.

JEReyes · Answer

This is what the client is using.

import json

import lseg.data as ld

from lseg.data.delivery import endpoint_request

SURFACES_URL = https://api.refinitiv.com/data/quantitative-analytics-curves-and-surfaces/v1/surfaces

EXAMPLES = [

{

"label": "TY Jun25 pre-expiry",

"root": "TY@RICROOT",

"calculation_date": "2025-05-01",

"expiry": "2025-06-20",

},

{

"label": "TY Jun25 post-expiry",

"root": "TY@RICROOT",

"calculation_date": "2026-05-15",

"expiry": "2025-06-20",

},

{

"label": "TY Jun26 pre-expiry",

"root": "TY@RICROOT",

"calculation_date": "2026-05-01",

"expiry": "2026-06-26",

},

{

"label": "RX Jun25 pre-expiry",

"root": "FGBL@RICROOT",

"calculation_date": "2025-05-01",

"expiry": "2025-06-06",

},

{

"label": "RX Jun25 post-expiry",

"root": "FGBL@RICROOT",

"calculation_date": "2026-05-15",

"expiry": "2025-06-06",

},

{

"label": "RX Jun26 pre-expiry",

"root": "FGBL@RICROOT",

"calculation_date": "2026-05-01",

"expiry": "2026-06-05",

},

{

"label": "CL Jun25 pre-expiry",

"root": "CL@RICROOT",

"calculation_date": "2025-05-01",

"expiry": "2025-06-17",

},

{

"label": "CL Jun25 post-expiry",

"root": "CL@RICROOT",

"calculation_date": "2026-05-15",

"expiry": "2025-06-17",

},

{

"label": "CL Jun26 pre-expiry",

"root": "CL@RICROOT",

"calculation_date": "2026-05-01",

"expiry": "2026-06-16",

},

]

def run_query(root: str, calculation_date: str, expiry: str) -> dict:

body = {

"universe": [

{

"surfaceTag": calculation_date,

"underlyingType": "Eti",

"underlyingDefinition": {"instrumentCode": root},

"surfaceParameters": {

"xAxis": "Date",

"yAxis": "Delta",

"moneynessType": "Fwd",

"priceSide": "Mid",

"timeStamp": "Default",

"volatilityModel": "SVI",

"calculationDate": calculation_date,

},

"surfaceLayout": {

"format": "Matrix",

"xValues": [expiry],

"yValues": ["-0.25", "-0.1", "0.1", "0.25", "0.5"],

},

}

],

"outputs": ["Data", "ForwardCurve", "DiscountCurve", "UnderlyingSpot"],

}

request = endpoint_request.Definition(

method=endpoint_request.RequestMethod.POST,

url=SURFACES_URL,

body_parameters=body,

)

response = request.get_data()

return {

"raw_data": response.data.raw,

"errors": [str(err) for err in (response.errors or [])],

}

def summarize(result: dict) -> dict:

raw = result.get("raw_data")

if not isinstance(raw, dict) or "data" not in raw or not raw["data"]:

return {"status": "NO_DATA", "errors": result.get("errors", [])}

item = raw["data"][0]

summary = {

"status": "OK" if "error" not in item else "ERROR",

"error": item.get("error"),

"underlyings": [x.get("instrumentCode") for x in item.get("underlyingSpot", []) if x.get("instrumentCode")],

"forward_curve_keys": sorted(list(item.get("forwardCurve", {}).get("dataPoints", {}).keys())),

"surface_header": item.get("surface", [None])[0] if item.get("surface") else None,

}

return summary

def main() -> None:

ld.open_session(name="desktop.workspace")

report = []

for example in EXAMPLES:

result = run_query(example["root"], example["calculation_date"], example["expiry"])

report.append(

{

**example,

"summary": summarize(result),

}

)

print(json.dumps(report, indent=2, default=str))

if __name__ == "__main__":

main()

Jirapongse · Answer

@JEReyes

Thank you for reaching to us.

Is it about the Instrument Pricing Analytics (IPA), as mentioned in this Instrument Pricing Analytics - Volatility Surfaces and Curves article?

If yes, please contact the IPA support team directly via LSEG Support to verify it.

Otherwise, if the required data can be pulled from the Workspace Excel formula, please share the formula. Then, we can check if it can be converted to Python code.

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