LSEG Data Library for Python

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repo.UnderlyingPricingParameters

Creates a repo.UnderlyingPricingParameters object.

Syntax

repo.UnderlyingPricingParameters(pricing_parameters_at_end, pricing_parameters_at_start, repo_parameters, ...)

Parameters

Value Description Data type Optional Default value
pricing_parameters_at_end Pricing parameters of underlying bond at repo end date (See bond.PricingParameters). PricingParameters Yes -
pricing_parameters_at_start Pricing parameters of underlying bond at repo start date (See bond.PricingParameters). PricingParameters Yes -
repo_parameters Repo parameters to be applied on underlying bond (See RepoParameters, below). RepoParameters Yes -
market_data_date The market data date for pricing. string Yes -
report_ccy The reporting currency code, expressed in iso 4217 alphabetical format (e.g., 'usd'). string Yes -
valuation_date The valuation date for pricing. The valuation date is the date where cash flow is discounted. string Yes -
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