LSEG Data Library for Python

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zc_curves.CrossCurrencyCurveDefinitionPricing

CrossCurrencyCurveDefinitionPricing generates the Cross Currency curves for the definitions provided.

Module

refinitiv.data.content.ipa.curves.zc-curves

Syntax

zc_curves.CrossCurrencyCurveDefinitionPricing(constituent_override_mode, main_constituent_asset_class, ...)

Parameters

Value Description Data type Optional Default value
constituent_override_mode A method to use the default constituents. Yes - ConstituentOverrideMode
main_constituent_asset_class The asset class used to generate the zero coupon curve. Yes - MainConstituentAssetClass
risk_type The risk type to which the generated cross currency curve is sensitive. Yes 'crosscurrency' str
base_currency The base currency in the fxcross currency pair. Yes - str
base_index_name The name of the floating rate index (e.g., 'estr') applied to the base currency. Yes - str
id The identifier of the cross currency definitions. Yes - str
ignore_existing_definition An indicator whether default definitions are used to get curve parameters and constituents. Yes - bool
is_non_deliverable An indicator whether the instrument is non-deliverable Yes - bool
name The fxcross currency pair applied to the reference or pivot currency. Yes - str
quoted_currency The quoted currency in the fxcross currency pair. Yes - str
quoted_index_name The name of the floating rate index (e.g., 'sofr') applied to the quoted currency Yes - str
source A user-defined string that is provided by the creator of a curve. curves created by LSEG have the 'lseg' source. Yes - str
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