LSEG Data Library for TypeScript

Built with Pandora

Surfaces.Fx.CalculationParams

CalculationParams represents the pricing parameters to be applied to the volatility surface.

Value Description Data type Optional Default value
xAxis The enumerate that specifies the unit for the 'x' axis (See Fx.AxisUnit). enum No -
yAxis The enumerate that specifies the unit for the 'y' axis (See Fx.AxisUnit). enum No -
calculationDate The date at which the volatility surface is constructed. The value is expressed in ISO 8601 format. string Yes -
atmVolatilityObject (See Fx.BidAskMid below). object Yes -
butterfly10DObject (See Fx.BidAskMid below). object Yes -
domesticDepositRatePercentObject (See Fx.BidAskMid below). object Yes -
foreignDepositRatePercentObject (See Fx.BidAskMid below). object Yes -
forwardPointsObject (See Fx.BidAskMid below). object Yes -
fxSpotObject (See Fx.BidAskMid below). object Yes -
fxSwapCalculationMethod The method used to calculate an outright price or deposit rates (See Fx.SwapCalculationMethod). enum Yes -
impliedVolatilityObject (See Fx.BidAskMid below). object Yes -
interpolationWeight (See Fx.InterpolationWeight below). object Yes -
timeStamp The mode of selecting the timestamp of options used to construct the surface (See Fx.TimeStampSelectionType). enum Yes -
priceSide The quoted price side of options used to construct the surface (See Fx.PriceSide). enum Yes -
riskReversal10DObject (See Fx.BidAskMid below). object Yes -
riskReversal25DObject (See Fx.BidAskMid below). object Yes -
volatilityModel The model used to build the surface (See Fx.VolatilityModel below). enum Yes -
returnAtm An indicator of whether the ATM volatility is returned in the surface constructed. boolean Yes -

Surfaces.Fx.BidAskMid

Value Description Data type Optional Default value
ask number Yes -
bid number Yes -
mid number Yes -

Surfaces.Fx.InterpolationWeight

Value Description Data type Optional Default value
dayList (See Fx.DayWeight bellow) object No -
holidays number No -
weekDays number No -
weekEnds number No -

Surfaces.Fx.DayWeight

Value Description Data type Optional Default value
date string Yes -
weight number Yes -

Surfaces.Fx.VolatilityModel

Name Value
VolatilityModel.SVI 'SVI'
VolatilityModel.SABR 'SABR'
VolatilityModel.CubicSpline 'CubicSpline'
VolatilityModel.TwinLognormal 'TwinLognormal'

Surfaces.Fx.SwapCalculationMethod

Name Value
SwapCalculationMethod.FxSwap 'FxSwap'
SwapCalculationMethod.FxSwapImpliedFromDeposit 'FxSwapImpliedFromDeposit'
SwapCalculationMethod.DepositCcy1ImpliedFromFxSwap 'DepositCcy1ImpliedFromFxSwap'
SwapCalculationMethod.DepositCcy2ImpliedFromFxSwap 'DepositCcy2ImpliedFromFxSwap'
321 words (1:41 mins)