Retrieve rate-asset volatility cube parameters.

curl --request POST \
  --url https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters \
  --header 'Authorization: Bearer <token>' \
  --header 'Content-Type: application/json-patch+json' \
  --data '
{
  "$type": "Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core",
  "market_date": "2023-11-07T05:31:56Z",
  "provider_id": "<string>",
  "market_data_environment_names": [
    "<string>"
  ],
  "market_data_environment_name": "Example market data",
  "identifier": "<string>"
}
'

import requests

url = "https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters"

payload = {
    "$type": "Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core",
    "market_date": "2023-11-07T05:31:56Z",
    "provider_id": "<string>",
    "market_data_environment_names": ["<string>"],
    "market_data_environment_name": "Example market data",
    "identifier": "<string>"
}
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.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core',
    market_date: '2023-11-07T05:31:56Z',
    provider_id: '<string>',
    market_data_environment_names: ['<string>'],
    market_data_environment_name: 'Example market data',
    identifier: '<string>'
  })
};

fetch('https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    '$type' => 'Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core',
    'market_date' => '2023-11-07T05:31:56Z',
    'provider_id' => '<string>',
    'market_data_environment_names' => [
        '<string>'
    ],
    'market_data_environment_name' => 'Example market data',
    'identifier' => '<string>'
  ]),
  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/RateAsset/GetVolatilityParameters"

	payload := strings.NewReader("{\n  \"$type\": \"Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core\",\n  \"market_date\": \"2023-11-07T05:31:56Z\",\n  \"provider_id\": \"<string>\",\n  \"market_data_environment_names\": [\n    \"<string>\"\n  ],\n  \"market_data_environment_name\": \"Example market data\",\n  \"identifier\": \"<string>\"\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/RateAsset/GetVolatilityParameters")
  .header("Authorization", "Bearer <token>")
  .header("Content-Type", "application/json-patch+json")
  .body("{\n  \"$type\": \"Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core\",\n  \"market_date\": \"2023-11-07T05:31:56Z\",\n  \"provider_id\": \"<string>\",\n  \"market_data_environment_names\": [\n    \"<string>\"\n  ],\n  \"market_data_environment_name\": \"Example market data\",\n  \"identifier\": \"<string>\"\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters")

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.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core\",\n  \"market_date\": \"2023-11-07T05:31:56Z\",\n  \"provider_id\": \"<string>\",\n  \"market_data_environment_names\": [\n    \"<string>\"\n  ],\n  \"market_data_environment_name\": \"Example market data\",\n  \"identifier\": \"<string>\"\n}"

response = http.request(request)
puts response.read_body

{
  "$type": "Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersResponse, Derivitec.Web.Core",
  "is_success": true,
  "error_messages": [
    "<string>"
  ],
  "marked_option_vol_dictionary": [
    {
      "$type": "Derivitec.Web.Core.MarketData.OptionVolPoint, Derivitec.Web.Core",
      "ask_vol": 123,
      "bid_vol": 123,
      "close_vol": 123,
      "claim_type": "<string>",
      "expiry": "2023-11-07T05:31:56Z",
      "extra_expiry": "2023-11-07T05:31:56Z",
      "marked_vol": 123,
      "maturity": 123,
      "strike": 123,
      "delta": 123,
      "call_delta": 123,
      "identifier": {
        "$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
        "code": "<string>",
        "identifier_type": "Derivitec",
        "market_identification_code": "<string>"
      }
    }
  ],
  "vol_cube_parameters": [
    {
      "$type": "Derivitec.Web.Core.MarketData.RatesVolCubeParameters, Derivitec.Web.Core",
      "atm_forward": 123,
      "atmf_vol": 123,
      "alpha": 123,
      "beta": 123,
      "rho": 123,
      "nu": 123,
      "shift": 123,
      "option_maturity": "2023-11-07T05:31:56Z",
      "swap_maturity": "2023-11-07T05:31:56Z",
      "description": "<string>"
    }
  ]
}

Retrieve rate-asset volatility cube parameters.

Use this operation to display swaption cube parameters and marked points for one rate asset and market date. VolType accepts Normal or LogNormal and defaults to Normal. Normal forwards, shifts, and volatilities use basis-point display units; lognormal volatilities use percentage-point display units. Provider/environment selection controls the requested cube. The operation is read-only and synchronous.

POST

api

RateAsset

GetVolatilityParameters

Retrieve rate-asset volatility cube parameters.

curl --request POST \
  --url https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters \
  --header 'Authorization: Bearer <token>' \
  --header 'Content-Type: application/json-patch+json' \
  --data '
{
  "$type": "Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core",
  "market_date": "2023-11-07T05:31:56Z",
  "provider_id": "<string>",
  "market_data_environment_names": [
    "<string>"
  ],
  "market_data_environment_name": "Example market data",
  "identifier": "<string>"
}
'

import requests

url = "https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters"

payload = {
    "$type": "Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core",
    "market_date": "2023-11-07T05:31:56Z",
    "provider_id": "<string>",
    "market_data_environment_names": ["<string>"],
    "market_data_environment_name": "Example market data",
    "identifier": "<string>"
}
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.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core',
    market_date: '2023-11-07T05:31:56Z',
    provider_id: '<string>',
    market_data_environment_names: ['<string>'],
    market_data_environment_name: 'Example market data',
    identifier: '<string>'
  })
};

fetch('https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    '$type' => 'Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core',
    'market_date' => '2023-11-07T05:31:56Z',
    'provider_id' => '<string>',
    'market_data_environment_names' => [
        '<string>'
    ],
    'market_data_environment_name' => 'Example market data',
    'identifier' => '<string>'
  ]),
  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/RateAsset/GetVolatilityParameters"

	payload := strings.NewReader("{\n  \"$type\": \"Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core\",\n  \"market_date\": \"2023-11-07T05:31:56Z\",\n  \"provider_id\": \"<string>\",\n  \"market_data_environment_names\": [\n    \"<string>\"\n  ],\n  \"market_data_environment_name\": \"Example market data\",\n  \"identifier\": \"<string>\"\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/RateAsset/GetVolatilityParameters")
  .header("Authorization", "Bearer <token>")
  .header("Content-Type", "application/json-patch+json")
  .body("{\n  \"$type\": \"Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core\",\n  \"market_date\": \"2023-11-07T05:31:56Z\",\n  \"provider_id\": \"<string>\",\n  \"market_data_environment_names\": [\n    \"<string>\"\n  ],\n  \"market_data_environment_name\": \"Example market data\",\n  \"identifier\": \"<string>\"\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.riskportal.activeviam.com/api/RateAsset/GetVolatilityParameters")

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.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core\",\n  \"market_date\": \"2023-11-07T05:31:56Z\",\n  \"provider_id\": \"<string>\",\n  \"market_data_environment_names\": [\n    \"<string>\"\n  ],\n  \"market_data_environment_name\": \"Example market data\",\n  \"identifier\": \"<string>\"\n}"

response = http.request(request)
puts response.read_body

{
  "$type": "Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersResponse, Derivitec.Web.Core",
  "is_success": true,
  "error_messages": [
    "<string>"
  ],
  "marked_option_vol_dictionary": [
    {
      "$type": "Derivitec.Web.Core.MarketData.OptionVolPoint, Derivitec.Web.Core",
      "ask_vol": 123,
      "bid_vol": 123,
      "close_vol": 123,
      "claim_type": "<string>",
      "expiry": "2023-11-07T05:31:56Z",
      "extra_expiry": "2023-11-07T05:31:56Z",
      "marked_vol": 123,
      "maturity": 123,
      "strike": 123,
      "delta": 123,
      "call_delta": 123,
      "identifier": {
        "$type": "Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core",
        "code": "<string>",
        "identifier_type": "Derivitec",
        "market_identification_code": "<string>"
      }
    }
  ],
  "vol_cube_parameters": [
    {
      "$type": "Derivitec.Web.Core.MarketData.RatesVolCubeParameters, Derivitec.Web.Core",
      "atm_forward": 123,
      "atmf_vol": 123,
      "alpha": 123,
      "beta": 123,
      "rho": 123,
      "nu": 123,
      "shift": 123,
      "option_maturity": "2023-11-07T05:31:56Z",
      "swap_maturity": "2023-11-07T05:31:56Z",
      "description": "<string>"
    }
  ]
}

Authorizations

Authorization

string

header

required

OAuth2 access-token requested from AWS Cognito and provided as a Auth Bearer header

Body

A non-empty rate-asset Identifier, date-only MarketDate, VolType (Normal = 0/default or LogNormal = 1), and one authorised provider-selector form.

Selects a rate asset, market-data date, and volatility quotation convention.

$type

enum<string>

required

Available options:

Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersRequest, Derivitec.Web.Core

market_date

string<date-time>

Market date used by the derived request.

provider_id

string | null

Opaque identifier of a single market-data provider to use instead of either environment-name option.

entity_access_type

enum<string>

Access classification associated with the selected market-data environment.

Available options:

view,

edit,

owner,

blocked

market_data_environment_names

string[] | null

Names of the market-data environments to use. Do not combine this list with the single-name or provider-ID alternatives.

market_data_environment_name

string | null

Single market-data environment name to use instead of market_data_environment_names or provider_id.

Example:

"Example market data"

identifier

string | null

Rate-asset identifier supplied to the volatility lookup.

vol_type

enum<string>

Normal or lognormal quotation convention requested for the returned volatility data.

Available options:

normal,

log_normal

Response

Returns maturity/tenor cube parameters and marked option points, or an unrecognised-rate-asset error.

Returns rate-option volatility points and per-maturity cube parameter rows.

$type

enum<string>

required

Available options:

Derivitec.Web.Core.MarketData.ApiGetVolatilityCubeParametersResponse, Derivitec.Web.Core

is_success

boolean

Whether the operation completed successfully. The default is true; error outcomes set it to false.

Example:

true

error_messages

string[] | null

Messages explaining operation-level failures. The collection is empty by default.

marked_option_vol_dictionary

object[] | null

Flat array of rate-option volatility points; despite the member name, this field is not a JSON dictionary.

Show child attributes

vol_cube_parameters

object[] | null

Rate-volatility cube parameter row for each available maturity combination.

Show child attributes

Introduction

Release and upgrades

User guide

Admin user guide

APIs Endpoints

Retrieve rate-asset volatility cube parameters.

Authorizations

Body

Response