LSEG Data Library for Python

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CapCalculationParams

surfaces.cap.CapCalculationParams contains the properties that may be used to control the calculation. (renamed CapletsStrippingSurfaceParameters in QPS)

Module

refinitiv.data.content.ipa.surfaces.cap

Syntax

ipa.surfaces.eti.CapCalculationParams(x_axis, y_axis, z_axis, ...)

Parameters

Value Description Data type Optional Default value
x_axis See Axis Axis No -
y_axis See Axis Axis No -
z_axis See Axis Axis No -
input_volatility_type See InputVolatilityType enum Yes -
market_data_date This attribute isn't use anymore. str Yes -
shift_percent Shift value to use in calibration(Strike/Forward). Default: 0.0 number Yes -
source Requested volatility data contributor. str Yes -
valuation_date date-time formatted string str Yes -
volatility_adjustment_type Volatility Adjustment method for stripping.
See VolatilityAdjustmentType		 VolatilityAdjustmentType Yes -

Returned value

surfaces.eti.CapCalculationParams instance
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