cross.Definition
Creates a cross.Definition object.
Syntax
cross.Definition(params)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrument_tag | This is a user-provided string that will also be part of the response. | str | Yes | - |
| fx_cross_code | The code of the cross currency (e.g., EURCHF). | str | Yes | - |
| fx_cross_type | The type of the FX Cross instrument. See FxCrossType | enum, str | Yes | - |
| traded_cross_rate | The contractual exchange rate agreed by the two counterparties. It is used to compute contraAmount if it isn't provided. | number | Yes | - |
| traded_swap_points | The contractual forward points agreed by the two counterparties. | number | Yes | - |
| reference_spot_rate | This is the contractual spot rate the counterparties agreed to use to calculate the outright, in case of a Forward contract. | number | Yes | - |
| legs | Extra parameters to describe the contract further. See LegDefinition bellow | list | Yes | - |
| fields | List of fields to request. | list | Yes | - |
| extended_params | Specifies the parameters that will be merged with the request. | dict | Yes | - |
| settlement_ccy | The code of the currency in which the deal is settled in case of FxNonDeliverableForward (NDF) contract, in ISO 4217 alphabetical format (e.g., 'USD'). | str | Yes | - |
Returned value
cross.Definition instance
cross.LegDefinition
Creates a cross.LegDefinition object.
Syntax
cross.LegDefinition(start_date, end_date, ...)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| start_date | The start date of the instrument, expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01').\nBy default it is computed as [spot date + StartTenor]. | datetime | Yes | - |
| end_date | The maturity date of the contract that is the date the amounts are exchanged. Either the EndDate or the Tenor must be provided for FxForward, FxNonDeliverableForward, FxTimeOptionForward and FxSwap. | datetime | Yes | - |
| tenor | The code indicating the period from startDate to endDate of the instrument (e.g. '1Y' or '6M' ). Either the EndDate or the Tenor must be provided | str | Yes | - |
| leg_tag | A user defined string to identify the leg | str | No | - |
| deal_ccy_buy_sell | The direction of the transaction in terms of the deal (base) currency. See BuySell | enum, str | Yes | - |
| fx_leg_type | The type of the FX Cross instrument's leg. See FxLegType | enum, str | Yes | - |
| contra_amount | The amount of contraCcy exchanged to buy or sell the amount of the deal (base) currency. | number | Yes | - |
| contra_ccy | The contra (quote) currency code, expressed in ISO 4217 alphabetical format (e.g., 'CHF') | str | Yes | - |
| deal_amount | The amount of the deal (base) currency bought or sold. | number | Yes | - |
| deal_ccy | The deal (base) currency code, expressed in ISO 4217 (e.g. 'EUR' ). | str | Yes | - |
| start_date | The start date of the instrument, expressed in ISO 8601 format: YYYY-MM-DD (e.g., '2021-01-01').\nBy default it is computed as [spot date + StartTenor]. | str | Yes | - |
Returned value
cross.LegDefinition instance
cross.PricingParameters
Creates a cross.PricingParameters object.
Syntax
cross.PricingParameters(deposit_ccy1, deposit_ccy2, ...)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| deposit_ccy1 | The deposit rate for the first currency. It is not calculated when fxSwapCalculationMethod = FxSwap. | float | Yes | - |
| deposit_ccy2 | The deposit rate for the second currency. It is not calculated when fxSwapCalculationMethod = FxSwap. | float | Yes | - |
| fx_swap_calculation_method | See FxSwapCalculationMethod | enum | Yes | - |
| fx_swaps_ccy1 | The FX swap point for the first currency. | float | Yes | - |
| fx_swaps_ccy1_ccy2 | The FX swap point for the second currency. | float | Yes | |
| fx_swaps_ccy2 | The Cross FX swap point. | float | Yes | - |
| fx_swaps_far_leg | - | FxPoint object | float | - |
| fx_swaps_near_leg | - | FxPoint object | float | - |
| price_side | See PriceSide | enum | Yes | - |
| adjust_all_swap_points_to_cross_calendars | This flag defines if cross-calendar holidays should be taken into account for FxSwapsCcy1 and FxSwapsCccy2. It adjusts swap points according to cross holidays if it's set to true, by default set to false. | str | Yes | - |
| calc_end_from_fwd_start | - | str | Yes | - |
| calc_end_from_pre_spot_start | - | str | Yes | - |
| ignore_ref_ccy_holidays | The reference currency holidays flag : When dates are computed, it’s possible to choose if holidays of the reference currency are included or not in the pricing | bool | Yes | - |
| market_data_date | The market data date for pricing. Optional. By default, the marketDataDate date is the ValuationDate or Today | bool | Yes | - |
| one_day_values | - | string | Yes | - |
| roll_over_time_policy | - | string | Yes | - |
| spread_margin_in_bp | If activated, it will calculate the indicated points in market data section instead of taking them directly from the curves | string | Yes | - |
| valuation_date | The valuation date for pricing. Optional. If not set the valuation date is equal to MarketDataDate or Today. For assets that contains a settlementConvention, the default valuation date is equal to the settlementdate of the Asset that is usually the TradeDate+SettlementConvention. | string | Yes | - |
Returned value
cross.PricingParameters instance
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