LSEG Data Library for TypeScript

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Surfaces.Swaption.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 Swaption.AxisUnit). enum No -
yAxis The enumerate that specifies the unit for the 'y' axis (See Swaption.AxisUnit). enum No -
zAxis The enumerate that specifies the unit for the 'z' axis (See Swaption.AxisUnit). enum Yes -
inputVolatilityType The type of volatility used for calibration (See Swaption.InputVolatilityType). enum Yes -
calculationDate The date at which the volatility surface is constructed. The value is expressed in ISO 8601 format. string Yes -
marketDataDate The date of market input data. The value is expressed in ISO 8601 format. string Yes -
shiftPercent The shift applied to calibrated strikes allowing negative rates. number Yes -
source The contributor of the volatility data. string Yes -
valuationDate The date at which the volatility surface is constructed. The value is expressed in ISO 8601 format. string Yes -
volatilityAdjustmentType Volatility adjustment method applied to caplets surface before stripping (See Swaption.VolatilityAdjustmentType). enum Yes -
includeCapletsVolatility Should the requested data include cap volatility surface. boolean Yes -
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