LSEG Data Library for Python

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surfaces.fx.FxCalculationParams

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

Module

refinitiv.data.content.ipa.surfaces.fx

Syntax

ipa.surfaces.fx.FxCalculationParams(filters, input_volatility-type, ...)

Parameters

Value Description Data type Optional Default value
atm_volatility_object See BidAskMid BidAskMid Yes -
butterfly10_d_object See BidAskMid BidAskMid Yes -
butterfly25_d_object See BidAskMid BidAskMid Yes -
domestic_deposit_rate_percent_object Domestic Deposit Rate at Expiry.
See BidAskMid		 BidAskMid Yes -
foreign_deposit_rate_percent_object Foreign Deposit Rate at Expiry.
See BidAskMid		 BidAskMid Yes -
forward_points_object Forward Points at Expiry.
See BidAskMid		 BidAskMid Yes -
fx_spot_object Spot Price.
See BidAskMid		 BidAskMid Yes -
fx_swap_calculation_method The method we chose to price outrights using or not implied deposits.
See SwapCalculationMethod		 SwapCalculationMethod Yes -
implied_volatility_object Implied Volatility at Expiry.
See BidAskMid		 BidAskMid Yes -
interpolation_weight Vol Term Structure Interpolation.
See InterpolationWeight		 InterpolationWeight Yes -
price_side Specifies whether bid, ask or mid is used to build the surface.
See PriceSide		 PriceSide Yes -
risk_reversal10_d_object RR 10 Days at Expiry.
See BidAskMid		 BidAskMid Yes -
risk_reversal25_d_object RR 25 Days at Expiry.
See BidAskMid		 BidAskMid Yes -
time_stamp Define how the timestamp is selected.
See TimeStamp		 TimeStampSelectionType Yes -
volatility_model The quantitative model used to generate the volatility surface. This may depend on the asset class.
For Fx Volatility Surface, we currently support the SVI model.
See VolatilityModel		 VolatilityModel Yes -
x_axis See Axis Axis Yes -
y_axis See Axis Axis Yes -
calculationDate The date the volatility surface is generated. str Yes -
cutoff_time The cutoff time str Yes -
cutoff_time_zone The cutoff time zone str Yes -

Returned value

ipa.surfaces.fx.FxCalculationParams instance
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