swap.Definition
Creates a swap.Definition object.
Syntax
`swap.Definition(trade_date, start_date, ...)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| instrument_tag | User defined string to identify the instrument.It can be used to link output results to the instrument definition. Only alphabetic, numeric and '- _.#=@' characters are supported. | string | Yes | - |
| instrument_code | A swap RIC that is used to retrieve the description of the swap contract. | string | Yes | - |
| trade_date | The date the swap contract was created. | string | Yes | - |
| start_date | The date the swap starts accruing interest. Its effective date | string | Yes | - |
| end_date | The maturity date of the swap contract. | string | Yes | - |
| tenor | The period code that represents the time between the start date and end date the contract. | string | Yes | - |
| legs | SwapLegDefinition[]. See swap.LegDefinition bellow | enum | Yes | - |
| is_non_deliverable | A flag that indicates if the swap is non-deliverable. | bool | Yes | - |
| settlement_ccy | For non-deliverable instrument, the ISO code of the settlement currency. | string | Yes | - |
| start_tenor | The code indicating the period from a spot date to startDate of the instrument (e.g. '1M'). | string | Yes | - |
| template | A reference to a common swap contract. | string | Yes | - |
| fields | List of fields to request. | list | Yes | - |
| pricing_parameters | See swap.pricing_parameters bellow | enum | Yes | - |
| extended_params | Specifies the parameters that will be merged with the request. | dict | Yes | - |
Returned value
swap.Definition instance
swap.LegDefinition
Creates a swap.LegDefinition object.
Syntax
`swap.LegDefinition(trade_date, start_date, ...)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| leg_tag | A user provided string to identify the leg that will also be part of the response. Optional. | string | Yes | - |
| direction | The direction of the leg. See Direction | enum | No | - |
| interest_type | An indicator whether the instrument pays a fixed or floating interest. See InterestType | enum | No | - |
| 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 come from the reference data. | string | No | - |
| notional_amount | The notional amount of the leg at the period start date. Optional. By default 1,000,000 is used | number | Yes | - |
| fixed_rate_percent | The fixed coupon rate in percentage. It is mandatory in case of a single leg instrument. Otherwise, in case of multi leg instrument, it can be computed as the Par rate. | number | Yes | - |
| index_name | The name of the floating rate index. Mandatory when the leg is float. | string | Yes | - |
| index_tenor | The period code that represents the maturity of the floating rate index. Mandatory when the leg is float. | string | Yes | - |
| spread_bp | The spread in basis point that is added to the floating rate index index value. Optional. By default 0 is used | number | Yes | - |
| interest_payment_frequency | The frequency of the interest payments. Optional if an instrument code/style have been defined : in that case, value comes from reference data. Otherwise, it is mandatory. See Frequency | enum | No | - |
| interest_calculation_method | The Day Count Basis method used to calculate the coupon interest payments. See DayCountBasis | enum | No | - |
| accrued_calculation_method | DayCountBasis enumeration for financial instruments. See DayCountBasis | enum | Yes | - |
| payment_business_day_convention | The method to adjust dates to a working day. See BusinessDayConvention | enum | Yes | - |
| payment_roll_convention | The method to adjust payment dates when they fall at the end of the month (28th of February, 30th, 31st). See DateRollingConvention | enum | Yes | - |
| index_reset_frequency | The reset frequency in case the leg Type is Float. See Frequency | enum | Yes | - |
| index_reset_type | A type indicating if the floating rate index is reset before the coupon period starts or at the end of the coupon period. See IndexResetType | enum | Yes | - |
| index_fixing_lag | Defines the 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 | - |
| first_regular_payment_date | The first regular coupon payment date for leg with an odd first coupon. | string | Yes | - |
| last_regular_payment_date | The last regular coupon payment date for leg with an odd last coupon. | string | Yes | - |
| amortization_schedule | A structure that defines the amortization schedule of the swap | list | Yes | - |
| payment_business_days | A list of coma-separated calendar codes to adjust dates (e.g. 'EMU' or 'USA'). Optional. By default the calendar associated to NotionalCcy is used. | string | Yes | - |
| notional_exchange | An indicator if the notional amount is exchanged and when it is exchanged. See NotionalExchange | enum | Yes | - |
| adjust_interest_to_payment_date | A flag that indicates if the coupon dates are adjusted to the payment dates. See AdjustInterestToPaymentDate | enum | Yes | - |
| index_compounding_method | IndexCompoundingMethod for financial instruments. See IndexCompoundingMethod | enum | Yes | - |
| interest_payment_delay | The number of working days between the end of coupon period and the actual interest payment date. Optional. By default no delay (0) is applied. | number | Yes | - |
| stub_rule | The rule that defines whether coupon roll dates are aligned on the maturity or the issue date. See StubRule | enum | Yes | - |
| index_average_method | The method of calculating the average index value. | string | Yes | - |
| index_observation_method | (rfr) method for determining the accrual observation period. | string | Yes | - |
| index_spread_compounding_method | The method defining how the computed float leg spread is applied to compounded rate. | string | Yes | - |
| index_spread_compounding_method | The method defining how the computed float leg spread is applied to compounded rate. | string | Yes | - |
| interest_calculation_convention | The day count basis method convention used to calculate the interest payments. | enum | Yes | - |
| cms_template | A reference to a common swap contract that represents the underlying swap in case of a Constant Maturity Swap contract (CMS). | string | Yes | - |
| floor_strike_percent | Floor leg strike expressed in % | 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. | string | Yes | - |
| upfront_amount | The amount which represents the net present value of the swap. it is computed as (100 dirtypricepercent / 100) x notionalamount. the value is expressed in upfrontamountccy. | string | Yes | - |
Returned value
swap.LegDefinition instance
swap.PricingParameters
Creates a swap.PricingParameters object.
Syntax
`swap.PricingParameters(index_convexity_adjustment_integration_method, index_convexity_adjustment_method, ...)
Parameters
| Value | Description | Data type | Optional | Default value |
|---|---|---|---|---|
| index_convexity_adjustment_integration_method | Integration method used for static replication method. | string | Yes | 'riemannsum' |
| index_convexity_adjustment_method | Convexity adjustment type for CMS swaps and Libor in arrears swaps. See IndexConvexityAdjustmentMethod | string | Yes | 'blackscholes' |
| price_side | See PriceSide | enum | Yes | - |
| tenor_reference_date | See TenorReferenceDate | enum | Yes | - |
| discounting_ccy | User defined discounting currency. | string | Yes | - |
| discounting_tenor | User defined discounting tenor (ex: OIS, 1M, 3M, 6M, 1Y) applied to both legs of the swap. | string | Yes | - |
| market_data_date | The market data date for pricing. Optional. By default, the marketDataDate date is the ValuationDate or Today | string | Yes | - |
| market_value_in_deal_ccy | The target market value of the swap expressed in deal currency. | number | Yes | 0 |
| report_ccy | Pricing data is computed in deal currency. If a report currency is set, pricing data is also computed in report currency. | string | Yes | - |
| use_legs_signing | Enable the signing of "risk measures" and "valuation" outputs based on leg's direction. | bool | No | False |
| valuation_date | The valuation date for pricing. | string | Yes | - |
Returned value
swap.PricingParameters instance
Learn more
For more information, please follow the link: https://developers.refinitiv.com/en/api-catalog/