LSEG Data Library for TypeScript

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About Surfaces Swaption

The Swaption module allows constructing interest rate volatility surface using the SABR volatility cube model as the instrument type.

IPA.Surfaces.Swaption.Definition object

This object defines the interest rate volatility surface parameters to construct.

Syntax

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

Parameters

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

Surfaces.Swaption.Params properties:

Value Description Data type Optional Default value
instrumentCode The code to be applied to the volatility surface model. The value is a currency code and is expressed in ISO 4217 alphabetical format. string No -
discountingType The parameter for selecting the discounting curve and volatilities used to calibrate the model (See Swaption.DiscountingType). enum Yes -
surfaceLayout The list of properties used to modify the layout of the volatility surface in outputs (See Swaption.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 Swaption.CalculationParams). object Yes -
outputs The list of requested output analytics (See Swaption.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 swaption volatility surface with 'EUR' currency code:

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

const definition = IPA.Surfaces.Swaption.Definition({
    instrumentCode: 'EUR',
});

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