LSEG Data Library for Python

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swaption.Definition

Creates a swaption.Definition object.

Syntax

swaption.Definition(underlying_definition, instrument_tag, ...)

Parameters

Value Description Data type Optional Default value
instrument_tag User-provided that will also be part of the response. str Yes -
start_date The date the swaption starts. str Yes -
end_date The maturity or expiry date of the instrument's leg. str Yes -
tenor The period code that represents the time between the start date and end date of the contract. str Yes -
notional_amount The notional amount of the instrument. float Yes 1,000,000
bermudan_swaption_definition See BermudanSwaptionDefinition. object Yes -
buy_sell The side of the deal (See BuySell). enum No -
exercise_style Defines the exercise of the option (See ExerciseStyle). enum No -
payment An array of payments InputFlow Yes -
premium_settlement_type An array of payments PremiumSettlementType, str Yes -
settlement_type The settlement type of the option if the option is exercised (See SwaptionSettlementType). enum Yes 'physical'
swaption_type The indicator if the swaption is a payer or a receiver. enum Yes -
underlying_definition The details of the underlying swap (See SwaptionInstrumentDefinition). object Yes -
spread_vs_atm_in_bp The notional amount of the instrument. float Yes -
strike_percent The interest rate agreed, expressed in percent, at which the option to enter the underlying swap is exercised. number Yes -
fields List of fields to request. list Yes -
pricing_parameters See PricingParameters, below. object Yes -
extended_params Specifies the parameters that will be merged with the request. dict Yes -

Returned value

swaption.Definition instance

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