LSEG Data Library for Python

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repo.RepoParameters

Creates a repo.RepoParameters object.

Syntax

repo.RepoParameters(coupon_paid_at_horizon, haircut_rate_percent, initial_margin_percent)

Parameters

Value Description Data type Optional Default value
coupon_paid_at_horizon Total amount of coupon paid at the end date of the repo, without reinvestment. bool Yes -
haircut_rate_percent Repo contract's haircut par in percentage, for computing the transaction's Margin. number Yes -
initial_margin_percent Repo contract's initial margin in percentage. initial_margin_percent=100/ (1- haircut_rate_percent/100). number Yes -
purchase_price Purchase price of the asset. this parameter can be used to solve repurchase_price from this purchase_price value. float Yes -
repurchase_price Repurchase price of the asset. this parameter can be used to solve purchase_price from this repurchase_price value. float Yes -
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