LSEG Data Library for Python

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surfaces.eti.EtiCalculationParams

This class property contains the properties that may be used to control the calculation.

Module

refinitiv.data.content.ipa.surfaces.eti

Syntax

ipa.surfaces.eti.EtiCalculationParams(filters, input_volatility-type, ...)

Parameters

Value Description Data type Optional Default value
filters The details of the filtering.
See SurfaceFilters below		 SurfaceFilters Yes -
input_volatility_type Specifies the type of volatility used as an input of the model (calculated Implied Volatility, Settlement)
See EtiInputVolatilityType below		 enum Yes -
moneyness_type The enumerate that specifies the moneyness type to use for calibration. Default value is SPOT
See MoneynessType		 MoneynessType Yes -
price_side Specifies whether bid, ask or mid is used to build the surface.
See PriceSide		 PriceSide Yes -
time_stamp Define how the timestamp is selected:\n- Open: the opening value of the valuationDate or if not available the close of the previous day is used.\n- Default: the latest snapshot is used when valuationDate is today, the close price when valuationDate is in the past.
See TimeStamp		 TimeStampSelectionType Yes -
volatility_model The quantitative model used to generate the volatility surface. This may depend on the asset class.
See VolatilityModel		 VolatilityModel Yes -
weights Specifies the list of calibration weight.
See MoneynessWeight, below		 MoneynessWeight[] Yes -
x_axis Specifies the unit for the x axis (e.g. Date, Tenor).
See Axis		 Axis Yes -
y_axis See Axis Axis Yes -
calculation_date The date the volatility surface is generated. str Yes -
svi_alpha_extrapolation Svi Alpha Extrapolation for building the surface bool Yes -
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