LSEG Data Library for Python

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swaption.PricingParameters

Creates a swaption.PricingParameters object.

Syntax

swaption.PricingParameters(underlying_definition, instrument_tag, ...)

Parameters

Value Description Data type Optional Default value
price_side The quoted price side of the instrument. enum, str Yes 'mid'
exercise_date - date, datetime, str Yes -
market_data_date The market data date for pricing. date, datetime, str Yes -
market_value_in_deal_ccy The market value of the instrument. the value is expressed in the deal currency. number Yes -
nb_iterations Used for Bermudans and HW1F tree. number Yes -
report_ccy The reporting currency code, expressed in iso 4217 alphabetical format (e.g. 'usd'). string Yes -
simulate_exercise Tells if in case of future cashflows should be considered as exercised or not. bool Yes -
valuation_date The valuation date for pricing. date, datetime, str Yes -
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