About Financial Contracts FxCross

A Swaption is an instrument type that can be requested using the FinancialContracts definition.

Syntax

FinancialContracts.Definition(JObject swaptionRequest)

Parameters

Returned value

FinancialContractsDefinition object.

Usage

The following example demonstrates how to create a FinancialContractsDefinition instance by providing a request object for Swaption:
We will try to use as many options as possible in one example, but the request object can be modified to fit particular needs.

 // Swaption
var swaption = new JObject()
{
    ["fields"] = new JArray("InstrumentDescription", "ValuationDate", "ExpiryDate",
                            "OptionType", "ExerciseStyle", "NotionalAmount", "ErrorMessage",
                            "NotionalCcy", "SettlementType", "SettlementCcy",
                            "Tenor", "UnderlyingTenor", "StrikePercent",
                            "MarketValueInDealCcy", "PremiumPercent", "ForwardPremiumInDealCcy",
                            "ImpliedVolatilityPercent", "DeltaPercent", "DeltaAmountInDealCcy",
                            "ThetaAmountInDealCcy", "VegaAmountInDealCcy", "GammaAmountInDealCcy",
                            "DiscountCurveName", "ForwardCurveName"),
    ["universe"] = new JArray(new JObject()
    {
        ["instrumentType"] = "Swaption",
        ["instrumentDefinition"] = new JObject()
        {
            ["settlementType"] = "Cash",
            ["tenor"] = "7Y",
            ["strikePercent"] = 2.75,
            ["buySell"] = "Buy",
            ["callPut"] = "Call",
            ["exerciseStyle"] = "BERM",
            ["bermudanSwaptionDefinition"] = new JObject() { ["exerciseScheduleType"] = "FloatLeg" },
            ["underlyingDefinition"] = new JObject()
            {
                ["tenor"] = "3Y",
                ["template"] = "NOK_AB6O"
            }
        },
        ["pricingParameters"] = new JObject() { ["valuationDate"] = "2020-04-24" }
    })
};

var swaptionData = FinancialContracts.Definition(swaption).GetData();