LSEG Data Library for Python

Built with Pandora

swaption.BermudanSwaptionDefinition

Creates a swaption.BermudanSwaptionDefinition object.

Syntax

swaption.BermudanSwaptionDefinition(underlying_definition, instrument_tag, ...)

Parameters

Value Description Data type Optional Default value
exercise_schedule Array of exercise dates of the Bermudan swaption. str Yes -
exercise_schedule_type Type of exercise type the bermudan option (See ExerciseScheduleType). enum Yes -
notification_days - number Yes -
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