LSEG Data Library for Python

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swaption.SwaptionInstrumentDefinition

Creates a swaption.SwaptionInstrumentDefinition object.

Syntax

swaption.SwaptionInstrumentDefinition(instrument_tag, ...)

Parameters

Value Description Data type Optional Default value
instrument_tag User provided string set to identify the instrument. str Yes -
start_date The date the swaption starts. date, str Yes -
end_date The maturity date of the swaption. date, 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 underlying swap. number Yes -
bermudan_swaption_definition See BermudanSwaptionDefinition. object Yes -
buy_sell The side of the deal (See BuySell). enum Yes -
exercise_style Tells if the option is a EURO or a BERM (See ExerciseStyle). enum Yes -
payment An array of payments InputFlow Yes -
premium_settlement_type The cash settlement type of the option premium enum, str Yes -
settlement_type The settlement type of the option if the option is exercised (See SwaptionSettlementType). enum, str Yes 'physical'
swaption_type The indicator if the swaption is a payer or a receiver. enum, str Yes -
underlying_definition The details of the underlying swap (See swap.Definition, below). 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 -
delivery_date - datetime Yes -
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