Swaption.Definition
Summary
The method is used to create the Definition for a Swaption.
Methods
Definition(params: Swaption.Params)
Allows you to create a Swaption data Definition object
Parameters:
| Property | Is Optional | Default Value | Description |
|---|---|---|---|
| underlyingDefinition | No | - | Swaption.SwapDefinition[] |
| bermudanSwaptionDefinition | Yes | - | Swaption.BermudanSwaptionDefinition[] |
| buySell | Yes | - | enum |
| callPut | Yes | - | enum |
| endDate | Yes | - | string |
| exerciseStyle | Yes | - | enum |
| instrumentTag | Yes | - | string |
| settlementType | Yes | - | enum |
| strikePercent | Yes | - | number |
| tenor | Yes | - | string |
| pricingParameters | Yes | - | Swaption.PricingParameters[] |
| fields | Yes | - | string [] |
| outputs | Yes | - | enum |
| extendedParams | Yes | - | {[key: string]: any} |
Swaption.SwapDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| endDate | Yes | - | string | The maturity date of the swaption. |
| instrumentCode | Yes | - | string | Code used in input to define the option instrument. |
| instrumentTag | Yes | - | string | User provided string set to identify the instrument. |
| isNonDeliverable | Yes | - | boolean | - |
| legs | Yes | - | SwapLegDefinition[] | See IRSwap.SwapLegDefinition |
| settlementCcy | Yes | - | string | ISO code of the report or settlement currency. |
| startDate | Yes | - | string | - |
| template | Yes | - | string | - |
| tenor | Yes | - | string | The period code that represents the time between the start date and end date of the contract. |
| tradeDate | Yes | - | number | - |
Swaption.BermudanSwaptionDefinition
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| exerciseSchedule | No | - | string | Array of exercise dates of the Bermudan swaption. |
| exerciseScheduleType | No | - | enum | Type of exercise type the bermudan option. See Swaption.ScheduleType |
| notificationDays | No | - | number | - |
Swaption.PricingParameters
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| marketDataRule | Yes | - | Swaption.SwaptionMarketDataRule[] | See Swaption.SwaptionMarketDataRule bellow |
| marketValueInDealCcy | Yes | - | number | - |
| nbIterations | Yes | - | number | - |
| valuationDate | Yes | - | string | - |
Swaption.SwaptionMarketDataRule
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| discount | Yes | - | string | - |
| forward | Yes | - | string | - |
Returned value: a Definition object
getData(session: Session)
Sends a request to the data platform to retrieve the data described by the Definition object.
Parameters:
| Property | Is Optional | Default Value | Type | Description |
|---|---|---|---|---|
| session | No | - | Session | Session instance |
Returned value: ContentResponse.
Learn more
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