LSEG Data Library for TypeScript

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About Surfaces Fx

The Surfaces Fx module allows Fx volatility surfaces to be requested and constructed.

Surfaces.Fx.Definition object

This object defines the ETI volatility surface parameters to request.

Syntax

Surfaces.Fx.Definition(params: Surfaces.Fx.Params)

Parameters

Value Description Data type Optional Default value
params An object literal of type Surfaces.Fx.Params. object No -

Surfaces.Fx.Params properties:

Value Description Data type Optional Default value
fxCrossCode The currency pair of FX Cross, expressed in ISO 4217 alphabetical format (e.g., 'EURCHF'). string No -
surfaceLayout The list of properties used to modify the layout of the volatility surface in outputs (See Fx.Layout). enum Yes -
surfaceTag A user-defined string to identify the volatility surface. It can be used to link output results to the requested definition. string Yes -
surfaceParameters The pricing parameters to be applied to the volatility surface (See Fx.CalculationParams). object Yes -
outputs The list of requested output analytics (See Fx.Outputs). enum Yes -
extendedParams Additional parameters to apply to the request. object Yes -

Returned value

ContentDefinition object.

Usage

The following example demonstrates how to create a definition for Fx volatility surface with 'EURUSD' currency pair:

import { IPA } from '@lsegroup/data';

const definition = IPA.Surfaces.Fx.Definition({
    fxCrossCode: 'EURUSD',
});

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