LSEG Data Library for Python

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surfaces.cap.CapSurfaceDefinition

surfaces.cap.CapSurfaceDefinition is used cap volatility surface Definition's parameters.

Module

refinitiv.data.content.ipa.surfaces.cap

Syntax

surfaces.cap.CapSurfaceDefinition(instrument_code, discounting_type, index_name, reference_caplet_tenor)

Parameters

Value Description Data type Optional Default value
instrument_code The Currency of the interest rate volatility model.0 str Yes -
discounting_type The discounting type of the interest rate volatility model. See DiscountingType below enum Yes LiborDiscounting
index_name Underlying index name. str Yes -
reference_caplet_tenor Reference caplet payment or index tenor. ex: 1M, 3M, 6M, 1Y str Yes -

Returned value

cap.CapSurfaceDefinition instance
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