LSEG Data Library for Python

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cap_floor.Definition

The method is used to create a cap_floor Definition object.

Syntax

Allows you to create a cap_floor data Definition object

Parameters

Value Description Data type Optional Default value
notional_ccy The ISO code of the notional currency.Mandatory if instrument code or instrument style has not been defined. In case an instrument code/style has been defined, value may comes from the reference data. str No -
buy_sell See BuySell BuySell No -
cap_strike_percent Cap leg strike expressed in % number No -
adjust_interest_to_payment_date See AdjustInterestToPaymentDate enum Yes -
amortization_schedule See AmortizationItem, below AmortizationItem[] Yes -
end_date The maturity date of the CapFloor str Yes -
floor_strike_percent Floor leg strike expressed in % number Yes -
index_fixing_lag "Defines the positive number of working days between the fixing date and the start of the coupon period ('InAdvance') or the end of the coupon period ('InArrears') number Yes -
index_fixing_ric The RIC that carries the fixing value. This value overrides the RIC associated by default with the IndexName and IndexTenor str Yes -
index_name The name of the floating rate index str Yes -
index_reset_frequency See Frequency enum Yes -
index_reset_type See ResetType enum Yes -
index_tenor The period code that represents the maturity of the floating rate index.\nMandatory when the leg is float str Yes -
instrument_tag A user-defined string to identify the instrument string Yes -
interest_calculation_method See DayCountBasis enum Yes -
interest_payment_frequency See Frequency enum Yes -
notional_amount The notional amount of the leg at the period start date.\nOptional. By default 1,000,000 is used. number Yes -
payment_business_day_convention See BusinessDayConvention enum Yes -
payment_roll_convention See DateRollingConvention enum Yes -
start_date The option start date string Yes -
stub_rule See StubRule enum Yes -
tenor Tenor of the option string Yes -
pricing_parameters See PricingParameters, below enum Yes -
extended_params Specifies the parameters that will be merged with the request. dict Yes -

cap_floor.PricingParameters

Value Description Data type Optional Default value
index_convexity_adjustment_integration_method See IndexConvexityAdjustmentIntegrationMethod enum Yes -
index_convexity_adjustment_method See IndexConvexityAdjustmentMethod enum Yes -
market_value_in_deal_ccy MarketValueInDealCcy to override and that will be used as pricing analysis input to compute VolatilityPercent number Yes -
report_ccy Valuation is performed in deal currency. If a report currency is set, valuation is done in that report currency string Yes -
skip_first_cap_floorlet Indicates whether to take in consideration the first caplet bool Yes -
valuation_date The valuation date for pricing string Yes -
market_data_date The market data date for pricing string Yes -
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