Estimate equity volatility from convertible-bond prices.
curl --request POST \
--url https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData \
--header 'Authorization: Bearer <token>' \
--header 'Content-Type: application/json-patch+json' \
--data '
{
"$type": "Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core",
"market_data_environment_name": "Example market data",
"provider_id": "<string>",
"bond_price_data": [
{
"$type": "Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core",
"provider_id": "<string>",
"derivitec_created": "<string>",
"derivitec_modified": "<string>",
"uploaded_date_time": "<string>",
"derivitec_modified_by": "<string>",
"uploaded_by": "<string>",
"rolled": false,
"bond_identifier": {
"$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
"code": "<string>",
"market_identification_code": "<string>"
},
"currency": "<string>",
"traded_price": 123,
"date": "2023-11-07T05:31:56Z",
"is_percentage_of_par": true,
"is_currency_per_bond_unit": true
}
],
"pricing_model_manager": {
"$type": "Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core"
},
"initial_atm_vol": 123,
"min_vol_bump": 123,
"max_vol_bump": 123
}
'import requests
url = "https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData"
payload = {
"$type": "Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core",
"market_data_environment_name": "Example market data",
"provider_id": "<string>",
"bond_price_data": [
{
"$type": "Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core",
"provider_id": "<string>",
"derivitec_created": "<string>",
"derivitec_modified": "<string>",
"uploaded_date_time": "<string>",
"derivitec_modified_by": "<string>",
"uploaded_by": "<string>",
"rolled": False,
"bond_identifier": {
"$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
"code": "<string>",
"market_identification_code": "<string>"
},
"currency": "<string>",
"traded_price": 123,
"date": "2023-11-07T05:31:56Z",
"is_percentage_of_par": True,
"is_currency_per_bond_unit": True
}
],
"pricing_model_manager": { "$type": "Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core" },
"initial_atm_vol": 123,
"min_vol_bump": 123,
"max_vol_bump": 123
}
headers = {
"Authorization": "Bearer <token>",
"Content-Type": "application/json-patch+json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {Authorization: 'Bearer <token>', 'Content-Type': 'application/json-patch+json'},
body: JSON.stringify({
$type: 'Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core',
market_data_environment_name: 'Example market data',
provider_id: '<string>',
bond_price_data: [
{
$type: 'Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core',
provider_id: '<string>',
derivitec_created: '<string>',
derivitec_modified: '<string>',
uploaded_date_time: '<string>',
derivitec_modified_by: '<string>',
uploaded_by: '<string>',
rolled: false,
bond_identifier: {
$type: 'Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core',
code: '<string>',
market_identification_code: '<string>'
},
currency: '<string>',
traded_price: 123,
date: '2023-11-07T05:31:56Z',
is_percentage_of_par: true,
is_currency_per_bond_unit: true
}
],
pricing_model_manager: {$type: 'Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core'},
initial_atm_vol: 123,
min_vol_bump: 123,
max_vol_bump: 123
})
};
fetch('https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'$type' => 'Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core',
'market_data_environment_name' => 'Example market data',
'provider_id' => '<string>',
'bond_price_data' => [
[
'$type' => 'Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core',
'provider_id' => '<string>',
'derivitec_created' => '<string>',
'derivitec_modified' => '<string>',
'uploaded_date_time' => '<string>',
'derivitec_modified_by' => '<string>',
'uploaded_by' => '<string>',
'rolled' => false,
'bond_identifier' => [
'$type' => 'Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core',
'code' => '<string>',
'market_identification_code' => '<string>'
],
'currency' => '<string>',
'traded_price' => 123,
'date' => '2023-11-07T05:31:56Z',
'is_percentage_of_par' => true,
'is_currency_per_bond_unit' => true
]
],
'pricing_model_manager' => [
'$type' => 'Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core'
],
'initial_atm_vol' => 123,
'min_vol_bump' => 123,
'max_vol_bump' => 123
]),
CURLOPT_HTTPHEADER => [
"Authorization: Bearer <token>",
"Content-Type: application/json-patch+json"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData"
payload := strings.NewReader("{\n \"$type\": \"Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core\",\n \"market_data_environment_name\": \"Example market data\",\n \"provider_id\": \"<string>\",\n \"bond_price_data\": [\n {\n \"$type\": \"Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core\",\n \"provider_id\": \"<string>\",\n \"derivitec_created\": \"<string>\",\n \"derivitec_modified\": \"<string>\",\n \"uploaded_date_time\": \"<string>\",\n \"derivitec_modified_by\": \"<string>\",\n \"uploaded_by\": \"<string>\",\n \"rolled\": false,\n \"bond_identifier\": {\n \"$type\": \"Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core\",\n \"code\": \"<string>\",\n \"market_identification_code\": \"<string>\"\n },\n \"currency\": \"<string>\",\n \"traded_price\": 123,\n \"date\": \"2023-11-07T05:31:56Z\",\n \"is_percentage_of_par\": true,\n \"is_currency_per_bond_unit\": true\n }\n ],\n \"pricing_model_manager\": {\n \"$type\": \"Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core\"\n },\n \"initial_atm_vol\": 123,\n \"min_vol_bump\": 123,\n \"max_vol_bump\": 123\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("Authorization", "Bearer <token>")
req.Header.Add("Content-Type", "application/json-patch+json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData")
.header("Authorization", "Bearer <token>")
.header("Content-Type", "application/json-patch+json")
.body("{\n \"$type\": \"Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core\",\n \"market_data_environment_name\": \"Example market data\",\n \"provider_id\": \"<string>\",\n \"bond_price_data\": [\n {\n \"$type\": \"Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core\",\n \"provider_id\": \"<string>\",\n \"derivitec_created\": \"<string>\",\n \"derivitec_modified\": \"<string>\",\n \"uploaded_date_time\": \"<string>\",\n \"derivitec_modified_by\": \"<string>\",\n \"uploaded_by\": \"<string>\",\n \"rolled\": false,\n \"bond_identifier\": {\n \"$type\": \"Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core\",\n \"code\": \"<string>\",\n \"market_identification_code\": \"<string>\"\n },\n \"currency\": \"<string>\",\n \"traded_price\": 123,\n \"date\": \"2023-11-07T05:31:56Z\",\n \"is_percentage_of_par\": true,\n \"is_currency_per_bond_unit\": true\n }\n ],\n \"pricing_model_manager\": {\n \"$type\": \"Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core\"\n },\n \"initial_atm_vol\": 123,\n \"min_vol_bump\": 123,\n \"max_vol_bump\": 123\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["Authorization"] = 'Bearer <token>'
request["Content-Type"] = 'application/json-patch+json'
request.body = "{\n \"$type\": \"Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core\",\n \"market_data_environment_name\": \"Example market data\",\n \"provider_id\": \"<string>\",\n \"bond_price_data\": [\n {\n \"$type\": \"Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core\",\n \"provider_id\": \"<string>\",\n \"derivitec_created\": \"<string>\",\n \"derivitec_modified\": \"<string>\",\n \"uploaded_date_time\": \"<string>\",\n \"derivitec_modified_by\": \"<string>\",\n \"uploaded_by\": \"<string>\",\n \"rolled\": false,\n \"bond_identifier\": {\n \"$type\": \"Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core\",\n \"code\": \"<string>\",\n \"market_identification_code\": \"<string>\"\n },\n \"currency\": \"<string>\",\n \"traded_price\": 123,\n \"date\": \"2023-11-07T05:31:56Z\",\n \"is_percentage_of_par\": true,\n \"is_currency_per_bond_unit\": true\n }\n ],\n \"pricing_model_manager\": {\n \"$type\": \"Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core\"\n },\n \"initial_atm_vol\": 123,\n \"min_vol_bump\": 123,\n \"max_vol_bump\": 123\n}"
response = http.request(request)
puts response.read_body{
"$type": "Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataResponse, Derivitec.Web.Core",
"is_success": true,
"error_messages": [
"<string>"
],
"equity_vol_surfaces": [
{
"$type": "Derivitec.Web.Core.MarketData.EquityVolSurfaceSvi, Derivitec.Web.Core",
"provider_id": "<string>",
"derivitec_created": "<string>",
"derivitec_modified": "<string>",
"uploaded_date_time": "<string>",
"derivitec_modified_by": "<string>",
"uploaded_by": "<string>",
"rolled": false,
"asset_name": {
"$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
"code": "<string>",
"identifier_type": "Derivitec",
"market_identification_code": "<string>"
},
"benchmark_fwd_factors": [
123
],
"benchmark_maturities": [
123
],
"reference_date": "2023-11-07T05:31:56Z",
"spot_ref": 123,
"call_wings": [
123
],
"put_wings": [
123
],
"skews": [
123
],
"smiles": [
123
],
"vols": [
123
]
}
]
}Estimate equity volatility from convertible-bond prices.
Use this operation to fit SVI equity volatility surfaces to non-empty convertible-bond price observations
using authorised provider and organisation market data. InitialAtmVol is a decimal volatility and
defaults to 0.5 (50%); MinVolBump and MaxVolBump are decimal fitting-shift bounds and
default to -0.95 and 2.0. All bond identifiers must be supported. Fit errors for an equity/date
can accompany surfaces for successful groups, and the operation waits for all requested fits before return.
POST
/
api
/
MarketData
/
FitEquityVolSurfacesToConvertibleBondData
Estimate equity volatility from convertible-bond prices.
curl --request POST \
--url https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData \
--header 'Authorization: Bearer <token>' \
--header 'Content-Type: application/json-patch+json' \
--data '
{
"$type": "Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core",
"market_data_environment_name": "Example market data",
"provider_id": "<string>",
"bond_price_data": [
{
"$type": "Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core",
"provider_id": "<string>",
"derivitec_created": "<string>",
"derivitec_modified": "<string>",
"uploaded_date_time": "<string>",
"derivitec_modified_by": "<string>",
"uploaded_by": "<string>",
"rolled": false,
"bond_identifier": {
"$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
"code": "<string>",
"market_identification_code": "<string>"
},
"currency": "<string>",
"traded_price": 123,
"date": "2023-11-07T05:31:56Z",
"is_percentage_of_par": true,
"is_currency_per_bond_unit": true
}
],
"pricing_model_manager": {
"$type": "Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core"
},
"initial_atm_vol": 123,
"min_vol_bump": 123,
"max_vol_bump": 123
}
'import requests
url = "https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData"
payload = {
"$type": "Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core",
"market_data_environment_name": "Example market data",
"provider_id": "<string>",
"bond_price_data": [
{
"$type": "Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core",
"provider_id": "<string>",
"derivitec_created": "<string>",
"derivitec_modified": "<string>",
"uploaded_date_time": "<string>",
"derivitec_modified_by": "<string>",
"uploaded_by": "<string>",
"rolled": False,
"bond_identifier": {
"$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
"code": "<string>",
"market_identification_code": "<string>"
},
"currency": "<string>",
"traded_price": 123,
"date": "2023-11-07T05:31:56Z",
"is_percentage_of_par": True,
"is_currency_per_bond_unit": True
}
],
"pricing_model_manager": { "$type": "Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core" },
"initial_atm_vol": 123,
"min_vol_bump": 123,
"max_vol_bump": 123
}
headers = {
"Authorization": "Bearer <token>",
"Content-Type": "application/json-patch+json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {Authorization: 'Bearer <token>', 'Content-Type': 'application/json-patch+json'},
body: JSON.stringify({
$type: 'Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core',
market_data_environment_name: 'Example market data',
provider_id: '<string>',
bond_price_data: [
{
$type: 'Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core',
provider_id: '<string>',
derivitec_created: '<string>',
derivitec_modified: '<string>',
uploaded_date_time: '<string>',
derivitec_modified_by: '<string>',
uploaded_by: '<string>',
rolled: false,
bond_identifier: {
$type: 'Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core',
code: '<string>',
market_identification_code: '<string>'
},
currency: '<string>',
traded_price: 123,
date: '2023-11-07T05:31:56Z',
is_percentage_of_par: true,
is_currency_per_bond_unit: true
}
],
pricing_model_manager: {$type: 'Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core'},
initial_atm_vol: 123,
min_vol_bump: 123,
max_vol_bump: 123
})
};
fetch('https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'$type' => 'Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core',
'market_data_environment_name' => 'Example market data',
'provider_id' => '<string>',
'bond_price_data' => [
[
'$type' => 'Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core',
'provider_id' => '<string>',
'derivitec_created' => '<string>',
'derivitec_modified' => '<string>',
'uploaded_date_time' => '<string>',
'derivitec_modified_by' => '<string>',
'uploaded_by' => '<string>',
'rolled' => false,
'bond_identifier' => [
'$type' => 'Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core',
'code' => '<string>',
'market_identification_code' => '<string>'
],
'currency' => '<string>',
'traded_price' => 123,
'date' => '2023-11-07T05:31:56Z',
'is_percentage_of_par' => true,
'is_currency_per_bond_unit' => true
]
],
'pricing_model_manager' => [
'$type' => 'Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core'
],
'initial_atm_vol' => 123,
'min_vol_bump' => 123,
'max_vol_bump' => 123
]),
CURLOPT_HTTPHEADER => [
"Authorization: Bearer <token>",
"Content-Type: application/json-patch+json"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData"
payload := strings.NewReader("{\n \"$type\": \"Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core\",\n \"market_data_environment_name\": \"Example market data\",\n \"provider_id\": \"<string>\",\n \"bond_price_data\": [\n {\n \"$type\": \"Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core\",\n \"provider_id\": \"<string>\",\n \"derivitec_created\": \"<string>\",\n \"derivitec_modified\": \"<string>\",\n \"uploaded_date_time\": \"<string>\",\n \"derivitec_modified_by\": \"<string>\",\n \"uploaded_by\": \"<string>\",\n \"rolled\": false,\n \"bond_identifier\": {\n \"$type\": \"Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core\",\n \"code\": \"<string>\",\n \"market_identification_code\": \"<string>\"\n },\n \"currency\": \"<string>\",\n \"traded_price\": 123,\n \"date\": \"2023-11-07T05:31:56Z\",\n \"is_percentage_of_par\": true,\n \"is_currency_per_bond_unit\": true\n }\n ],\n \"pricing_model_manager\": {\n \"$type\": \"Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core\"\n },\n \"initial_atm_vol\": 123,\n \"min_vol_bump\": 123,\n \"max_vol_bump\": 123\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("Authorization", "Bearer <token>")
req.Header.Add("Content-Type", "application/json-patch+json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData")
.header("Authorization", "Bearer <token>")
.header("Content-Type", "application/json-patch+json")
.body("{\n \"$type\": \"Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core\",\n \"market_data_environment_name\": \"Example market data\",\n \"provider_id\": \"<string>\",\n \"bond_price_data\": [\n {\n \"$type\": \"Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core\",\n \"provider_id\": \"<string>\",\n \"derivitec_created\": \"<string>\",\n \"derivitec_modified\": \"<string>\",\n \"uploaded_date_time\": \"<string>\",\n \"derivitec_modified_by\": \"<string>\",\n \"uploaded_by\": \"<string>\",\n \"rolled\": false,\n \"bond_identifier\": {\n \"$type\": \"Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core\",\n \"code\": \"<string>\",\n \"market_identification_code\": \"<string>\"\n },\n \"currency\": \"<string>\",\n \"traded_price\": 123,\n \"date\": \"2023-11-07T05:31:56Z\",\n \"is_percentage_of_par\": true,\n \"is_currency_per_bond_unit\": true\n }\n ],\n \"pricing_model_manager\": {\n \"$type\": \"Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core\"\n },\n \"initial_atm_vol\": 123,\n \"min_vol_bump\": 123,\n \"max_vol_bump\": 123\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.riskportal.activeviam.com/api/MarketData/FitEquityVolSurfacesToConvertibleBondData")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["Authorization"] = 'Bearer <token>'
request["Content-Type"] = 'application/json-patch+json'
request.body = "{\n \"$type\": \"Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core\",\n \"market_data_environment_name\": \"Example market data\",\n \"provider_id\": \"<string>\",\n \"bond_price_data\": [\n {\n \"$type\": \"Derivitec.Web.Core.MarketData.BondDataExternal, Derivitec.Web.Core\",\n \"provider_id\": \"<string>\",\n \"derivitec_created\": \"<string>\",\n \"derivitec_modified\": \"<string>\",\n \"uploaded_date_time\": \"<string>\",\n \"derivitec_modified_by\": \"<string>\",\n \"uploaded_by\": \"<string>\",\n \"rolled\": false,\n \"bond_identifier\": {\n \"$type\": \"Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core\",\n \"code\": \"<string>\",\n \"market_identification_code\": \"<string>\"\n },\n \"currency\": \"<string>\",\n \"traded_price\": 123,\n \"date\": \"2023-11-07T05:31:56Z\",\n \"is_percentage_of_par\": true,\n \"is_currency_per_bond_unit\": true\n }\n ],\n \"pricing_model_manager\": {\n \"$type\": \"Derivitec.Web.Core.Tradables.IPricingModelManager, Derivitec.Web.Core\"\n },\n \"initial_atm_vol\": 123,\n \"min_vol_bump\": 123,\n \"max_vol_bump\": 123\n}"
response = http.request(request)
puts response.read_body{
"$type": "Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataResponse, Derivitec.Web.Core",
"is_success": true,
"error_messages": [
"<string>"
],
"equity_vol_surfaces": [
{
"$type": "Derivitec.Web.Core.MarketData.EquityVolSurfaceSvi, Derivitec.Web.Core",
"provider_id": "<string>",
"derivitec_created": "<string>",
"derivitec_modified": "<string>",
"uploaded_date_time": "<string>",
"derivitec_modified_by": "<string>",
"uploaded_by": "<string>",
"rolled": false,
"asset_name": {
"$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
"code": "<string>",
"identifier_type": "Derivitec",
"market_identification_code": "<string>"
},
"benchmark_fwd_factors": [
123
],
"benchmark_maturities": [
123
],
"reference_date": "2023-11-07T05:31:56Z",
"spot_ref": 123,
"call_wings": [
123
],
"put_wings": [
123
],
"skews": [
123
],
"smiles": [
123
],
"vols": [
123
]
}
]
}Authorizations
oauth2apikey
OAuth2 access-token requested from AWS Cognito and provided as a Auth Bearer header
Body
application/json-patch+jsonapplication/jsontext/jsonapplication/*+json
The fitting payload. BondPriceData must be non-empty and supplies convertible-bond identifiers, date-only market dates, currencies, prices, and quotation flags. Provider/environment scope, optional MarketDataOverride, optional PricingModelManager, and decimal initial-volatility and bump-bound values control the fit.
Requests equity volatility surfaces fitted from convertible-bond prices and volatility-bump constraints.
Available options:
Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataRequest, Derivitec.Web.Core Name of the market-data environment to use. Supply either this name or provider_id, not both.
Example:
"Example market data"
Opaque identifier of the market-data provider to use. Supply either this identifier or market_data_environment_name, not both.
Convertible-bond prices consumed by the surface fit.
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Optional market-data substitutions supplied with pricing, risk, or report calculations.
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Pricing-model configuration role accepted by calculation requests.
- Option 1
- Option 2
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Initial at-the-money volatility expressed as a decimal; defaults to 0.5, meaning 50%.
Lower volatility-bump constraint expressed as a decimal volatility shift; defaults to -0.95.
Upper volatility-bump constraint expressed as a decimal volatility shift; defaults to 2.0.
Response
Returns fitted equity SVI surfaces and errors for invalid organisation scope, unsupported or non-convertible bonds, invalid overrides, missing prerequisite market data, or failed fits.
Returns equity volatility surfaces fitted from the convertible-bond inputs.
Available options:
Derivitec.Web.Core.MarketData.ApiFitEquityVolSurfacesToConvertibleBondDataResponse, Derivitec.Web.Core Whether the operation completed successfully. The default is true; error outcomes set it to false.
Example:
true
Messages explaining operation-level failures. The collection is empty by default.
Fitted equity volatility surfaces.
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